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題名:盤後交易對期貨開盤交易活動之影響
書刊名:期貨與選擇權學刊
作者:盧陽正呂承霖李忠榮王佑鈞
作者(外文):Lu, Yang-chengLu, Cheng-linLee, Chung-jungWang, Yu-chun
出版日期:2020
卷期:13:3
頁次:頁85-114
主題關鍵詞:盤後交易波動性交易量延長盤前交易時段After-hours tradingVolatilityTrading volumeExtended opening session
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:10
  • 點閱點閱:8
期刊論文
1.Barclay, Michael J.、Hendershott, Terrence(2004)。Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours。The Journal of Finance,59,681-710。  new window
2.Gerety, Mason S.、Mulherin, J. Harold(1992)。Trading halts and market activity: An analysis of volume at the open and the close。The Journal of Finance,47(5),1765-1784。  new window
3.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。  new window
4.Veronesi, Pietro(1999)。Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model。Review of Financial Studies,12(5),975-1007。  new window
5.Chang, Chuang-Chang、Hsieh, Pei-Fang、Lai, Hung-Neng(2013)。The Price Impact of Options and Futures Volume in After-Hours Stock Market Trading。Pacific-Basin Finance Journal,21(1),984-1007。  new window
6.Barclay, Michael J.、Hendershott, Terrence(2003)。Price discovery and trading after hours。Review of Financial Studies,16(4),1041-1073。  new window
7.Chan, Yue-cheong(2005)。Who trades in the stock index futures market when the underlying cash market is not trading?。Pacific-Basin Finance Journal,13,547-561。  new window
8.Cheng, Louis T. W.、Jiang, Li、Ng, Renne W. Y.(2004)。Information content of extended trading for index futures。Journal of Futures Markets,24,861-886。  new window
9.Baur, Dirk G.、McDermott, Thomas K.(2010)。Is Gold a Safe Haven? International Evidence。Journal of Banking and Finance,34(8),1886-1898。  new window
10.Barclay, Michael J.、Hendershott, Terrence(2008)。A Comparison of Trading and Non-trading Mechanisms for Price Discovery。Journal of Empirical Finance,15(5),839-849。  new window
11.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
12.Amihud, Yakov、Mendelson, Haim、Wood, Robert A.(1990)。Liquidity and the 1987 Stock Market Crash。The Journal of Portfolio Management,16(3),65-69。  new window
13.Amihud, Yakov、Mendelson, Haim(1991)。Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market。The Journal of Finance,46(5),1765-1789。  new window
14.Chowdhury, A. R.(1991)。Futures Market Efficiency: Evidence From Cointegration Tests。Journal of Futures Markets,11(5),577-589。  new window
15.Huang, B. N.、Yang, C. W.(2001)。An Empirical Investigation of Trading Volume and Return Volatility of the Taiwan Stock Market。Global Finance Journal,12(1),55-77。  new window
16.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。  new window
17.顏榮邦、陳柏璋(2019)。2018年臺灣期貨市場交易概況。臺灣期貨雙月刊,49,8-17。  延伸查詢new window
18.Birru, J.(2018)。Day of the Week and the Cross-Section of Returns。Journal of Financial Economics,130,182-214。  new window
19.Coppejans, M.、Domowitz, I.(1999)。Pricing Behavior in an Off-Hours Computerized Market。Journal of Empirical Finance,6,583-607。  new window
20.Dungey, M.、Fakhrutdinova, L.、Goodhart, C.(2009)。After-Hours Trading in Equity Futures Markets。Journal of Futures Markets,29,114-136。  new window
21.Fong, K.、Martens, M.(2002)。Overnight Futures Trading: Now Even Australia and U.S. Have Common Trading Hours。Journal of International Financial Markets, Institutions and Money,12,167-182。  new window
22.Hua, R.、Liu, Q.、Tse, Y.(2016)。Extended Trading in Chinese Index Markets: Informed or Uninformed?。Pacific-Basin Finance Journal,36,112-122。  new window
23.Ma, C. K.(1986)。A Further Investigation of the Day-of-the-Week Effect in the Gold Market。Journal of Futures Markets,6,409-419。  new window
24.Shiller, R. J.(1987)。The Volatility of Stock Market Prices。Science,235,33-37。  new window
25.Sohn, S.、Zhang, X.(2017)。Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?。Journal of Futures Markets,37,717-740。  new window
26.French, Kenneth R.(1980)。Stock Returns and the Weekend Effect。Journal of Financial Economics,8(1),55-69。  new window
27.王凱立、陳美玲(20030600)。亞洲金融風暴發生前後美國與臺灣股市動態關聯之進一步研究。經濟論文叢刊,31(2),191-252。new window  延伸查詢new window
28.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
29.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
研究報告
1.Botman, D. P. J.、de Carvalho Filho, I.、Lam, W. R.(2013)。The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis。International Monetary Fund。  new window
 
 
 
 
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