- 學位論文
交易人行為、交易時距與台指選擇權價格波動性
Investor Behavior, Trade Duration and TXO Price Volatility
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並列摘要
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參考文獻
A. Dufour, and R. F. Engle, (2000), “Time and the price impact of a trade”, The Journal of Finance, 55, pp.2467−2498.
A. G. Hawkes, (1971), “Spectra of Some Self-exciting and Mutually Exciting Point Processes”, Biometrika, 58, pp.83–90.
A. G. Hawkes, (1972), “Spectra of Some Mutually Exciting Point Processes With Associated Variables”, Stochastic Point Processes, pp.261–71.
A.G. Karolyi, (1996), “ stock market volatility around expiration days in Japan” , Journal of Derivatives,4, pp.23-43.
A. Hodgson, A. M. A. Masih, and R. Masih, (2006), “Futures trading volume as a determinant of prices in different momentum phases”, International Review of Financial Analysis, 15, pp.68−85.
延伸閱讀
- 柏婉貞、黃柏農（2007）。台股指數貨與現貨市場日內報酬波動與交易量非線性行為之研究。經濟研究，43(2)，181-208。https://doi.org/10.29765/TEI.200707.0003
- Luo, V. (2009). 實現波動率於選擇權交易之應用–以台灣指數選擇權市場為例 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2009.03174
- 林詩舫（2012）。投資人交易行為影響交易量與波動度關係之研究-以台灣指數期貨為例〔碩士論文，國立臺灣師範大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0021-1610201315302225
- Tai, V. W., Chen, M. H., & Tseng, C. H. (2015). Return Volatility and Day Trading. 財務金融學刊, 23(2), 19-54. https://doi.org/10.6545/JFS.2015.23(2).2
- 彭思維（2012）。The Relationship among Investor Behavior, Bid-Ask Spread and Volatility〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.00779