中文部分
洪舜華(2001),『摩根臺灣股價期貨指數到期效應對股票市場的影響』,碩士論文,國立台北大學企業管理研究所。蔡垂君(2002),『台灣股價指數期貨與現貨之實證研究』,博士論文,國立台北大學企業管理研究所。英文部分
Andersen, T., G..(1996), ”Return volatility and trading
volume:An information flow interpretation of stochastic
volatility, ” Journal of Finance, 51,169-204.
Antoniou, A., & Holmes, P.(1995), “Futures trading,
information and spot price volatility:evidence for the FTSE-
100 Stock index futures contract using GARCH, “ Journal of
Banking & Finance, 19,117-129
Bhattacharya, A. K., (1987), “Option expirations and treasury
bond futures prices, “Journal of Futures Markets, 7, 49-64.
Bollersev, T.(1996), “Generalized autoregressive
conditional heteroskedasticity, “ Journal of Econometrics,
31, 307-327
Bollen, Nicolas P. B.& Whaley, Robert E.(1999), “Do
expirations of Hang Seng Index derivatives affect stock
market volatility? “ Journal of Finace, 7, 453-470
Campbell, J. Y., Grossman, S. J., & Wang, J.(1993), “Trading volume and serial correlation in stock returns, “
Quarterly Journal of Economics, 108, 905-939
Chamberlain, T. W., Cheung, C. S., &Kwan, C. C. Y.(1989,
September-October), “Expiraiton-day effects of index
futures and options: some Canadian evidence,” Financial
Analysts Journal, 67-71
Chen, C., & Williams, J.(1994), “Triple-witching hour, the
change in expiration timing, and stock market reaction, “
Journal of Futures Markets,14(3), 275-292
Cinar, E. M., & Vu, J.(1987, January-February), “Evidence
on the effect of option expirations on stock prices, “
Financial Analysts Journal, 55-57
Chow, Ying-Foon, Yung, Haynes H. M., & Zhang, Hua (2003), “Expiration day effects: the case of hong kong, “ Journal of
Futures Markets, Vol. 23, No. 1. 67-86
Day, T. & Lewis, C. (1988), “ The behavior of the volatility
implicit in the prices of stock index options, “ Journal of
Financial Economics, vol. 22, Oct., pp. 103-22.
Edwards, F. R..(1988), “ Does futures trading increase
stock market volatility? “ Financial Analysts Journal, 44,
63-69
Engle, R. F., & Ng, V. K.(1993), “ Measuring and testing
the impact of news on volatility, “ Journal of Finance, 48,
1749-1778
Gallant, A. R., Rossi, P.E., & Tauchen, G. E.(1992), “
Stock prices and volume, “ Review of Financial Studies, 5,
199-242
Garbade, K., & Silber, W.(1983), “ Price movements and
price discovery in futures and cash markets, “ Review of
Economics and Statistics, 65, 289-297
Gennotte, G., & Leland, H.(1990), “ Market liquidity,
hedging, and crashes,“ American Economic Review, 80, 999-1021
Glosten, L. R., Jagannathan, R., & Runkle, D. E.(1993), “
On the relation between the expected value and the volatility
of the nominal excess return on stocks, “ Journal of
Finance, 48, 1779-1801
Grossman, S.(1988), “ An analysis of the implications for
stock and futures price volatility of program trading and
dynamic hedging strategies, “ Journal of Business, 61, 421-
439
Jarrow, R. A.(1994), “ Derivative security markets, market
manipulation, and option pricing theory, ” Journal of
Financial & Quantitative Analysis, 29, 241-261
Kamara, A. (1997), “ New evidence on the Monday seasonal in
stock returns, “ Journal of Business, 70(1), 63-84.
Karolyi, A.(1996), “ Stock market volatility around
expiration days in Jap., “ Journal of Derivatives, 4, 23-43
Karpoff, J. M.(1987), “ The relationship between price
changes and trading volume: a survey, ” Journal of Financial
and Quantitative Analysis, 22, 109-126
Karolyi, A. G. (1996), “ Stock market volatility around
expiration days in Japan, “ Journal of Derivatives, 4(2), 23-
43.
Klemkosky, R. C. (1978), “ The impact of option expirations
on stock prices, “ Journal of Financial and Quantitative
Analysis, 13, 507-518.
Lamoureux, C. G., & Lastrapes, W. D.(1990), “ Persistence
in variance, structural change, and the GARCH model, “
Journal of Business & Economic Statistics, 8, 225-234
Officer, D. T., & Trennepohl, G. L. (1981), “ Price behavior
of corporate equities near option expiration dates, “
Financial Management, 10(3), 75-80.
Pope, P. F., & Yadav, P. K.(1992), “ The impact of
expiration on underlying stocks: the UK evidence, “ Journal
of Business Finance & Accounting, 19(3), 329-344.
Stoll, H.R. & Whaley, R.E. (1986), “ Expiration day effects
of index options and futures, ” Monograph Series in Finance
and Economics, Monograph 1986-3.
Stoll, H.R. & Whaley, R.E. (1987), “ Program trading and
expiration day effects, “ Financial Analysts Journal, vol.
43, Mar.-Apr., pp. 16-28.
Stoll, H. R., & Whaley, R. E. (1990), “ Program trading and
individual stock returns : Ingredients of the triple witching
brew, “ Journal of Business, vol. 63, Jan., 165-192
Stoll, H. R., & Whaley, R. E. (1991), “ Expiration-day
effects: what has changed? “ Financial Analysts Journal, 58-
72
Stoll, H. R., & Whaley, R. E.(1997), “ Expiration-Day
Effects of the All Ordinaries Share Price Index Futures:
Empirical Evidence and Alternative Settlement Procedures, ”
Australian Journal of Management, 139-167
Swidler, S., Schwartz, L., & Kristiansen, R.(1994), “
Option expiration day effects in small markets: evidence from
the Oslo Stock Exchange, “ Journal of Financial Engineering,
3(2), 177-195
Tauchen, G., Zhang. H., & Liu, M.(1996), “ Volume,
volatility, and leverage: A dynamic analysis, “ Journal of
Econometrics, 74, 177-208
Vu, J., & Cinar, E. M.(1988), “ The effect of individual
stock option expirations on stock returns before and after
the introduction of S&P 100 options, “ Advances in Futures
and Options Research, 3, 341-356