|
一、中文文獻 1.封福育 (2008),我國滬深股市價量關係實證分析——基於分位數迴歸估計,商業經濟與管理,2005年,200(6),頁75-59。 2.莊家彰、管中閔 (2005),台灣與美國股市價量關係的分量迴歸分析,經濟論文,2005年,33(4),頁379-404。 3.張傳章、謝佩芳 (2016),台灣選擇權市場交易活動之實證研究:文獻回顧與展望,經濟論文叢刊,2016年,44(1),頁57-75。
二、英文文獻 Anthony, Joseph H. (1988), The Interrelation of Stock and Options Market Trading-Volume Data, Journal of Finance, 43(4), 949–964. Back, Kerry (1993), Asymmetric Information and Options, Review of Financial Studies, 6(3), 435–472. Black, Fischer (1975), Fact and Fantasy in the Use of Options, Financial Analysts Journal, 31(4), 36–41, 61–72. Black, Fischer and Myron Scholes (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3), 637–654. Cao, Charles, Zhiwu Chen, and John M. Griffin (2005), Informational Content of Option Volume Prior to Takeovers, Journal of Business, 78(3), 1073–1109. Chakravarty, Sugato, Huseyin Gulen and Stewart Mayhew (2004), Informed Trading in Stock and Option Markets, Journal of Finance, 59(3), 1235–1257. Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong (2002), The Informational Role of Stock and Option Volume, Review of Financial Studies, 15(4), 1049–1075. Chan, Kalok, Y. Peter Chung, and Herb Johnson (1993), Why Option Prices Lag Stock Prices: A Trading-Based Explanation, Journal of Finance, 48(5), 1957–1967. Chan, Kam C., Yuanchen Chang, and Peter P. Lung (2009), Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options, Pacific-Basin Finance Journal, 17(2), 189–208.
Chang, Chuang-Chang, Pei-Fang Hsieh, and Hung-Neng Lai (2009), Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange, Journal of Banking and Finance, 33(4), 757–764. Easley, David, Maureen O’Hara, and P. S. Srinivas (1998), Option Volume and Stock Prices: Evidence on Where Informed Traders Trade, Journal of Finance, 53(2), 431–465. Han, Bing, Yi-Tsung Lee, and Yu-Jane Liu (2010), Investor Trading Behavior and Performance: Evidence from Taiwan Stock Index Options, Working Paper, University of Texas at Austin. Hsieh, Pei-Fang, Chuang-Chang Chang, Hung-Neng Lai, and Wei-Sen Hsu (2017), The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange, Journal of Futures and Options, 10(1), 1-39. Hsieh, Wen-liang G. and Huei-Ru He (2014), Informed Trading, Trading Strategies and the Information Content of Trading Volume: Evidence from the Taiwan index options market, Journal of International Financial Markets, Institutions and Money, 31(1), 187–215. Johnson, Travis and Eric C. So (2012), The Option to Stock Volume Ratio and Future Returns, Journal of Financial Economics, 106(2), 262–286. Roger Koenker, Gilbert Bassett, Jr. (1978), Regression Quantiles, Econometrica, 46(1), 33-50. Pan, Jun and Allen M. Poteshman (2006), The Information in Option Volume for Future Stock Prices, Review of Financial Studies, 19(3), 871–908. Roll, Richard, Eduardo Schwartz, and Avanidhar Subrahmanyam (2010), O/S: The Relative Trading Activity in Options and Stock, Journal of Financial Economics, 96(1), 1–17. Srinivas, P. S. (1993), Trade Size and the Information Content of Option Trades, Working paper, Cornell University. Stephan, Jens A. and Robert E.Whaley (1990), Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets, Journal of Finance, 45(1), 191–220. Vijh, Anand M. (1990), Liquidity of the CBOE Equity Options, Journal of Finance, 45(4), 1157–1179.
|