淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1201200715501900
中文論文名稱 衍生性市場創新、交易機制與隱含波動
英文論文名稱 Essays on the Innovation, Trading Mechanism and Implied Volatility of Derivative Markets
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 1
出版年 96
研究生中文姓名 許美滿
研究生英文姓名 Mei-Maun Hseu
學號 889490032
學位類別 博士
語文別 英文
口試日期 2006-12-23
論文頁數 85頁
口試委員 指導教授-鍾惠民
共同指導教授-謝文良
委員-蔡信夫
委員-吳壽山
委員-許和鈞
委員-鍾惠民
委員-謝文良
委員-林允永
中文關鍵字 權證  避險效果  初次公開發行  到期日效應  隱含波動  市場時機  台指期貨  台指選擇權 
英文關鍵字 Derivative warrants  Expiration day effects  IPOs  Hedging effect  Implied volatility  Market timing  TX  TXO 
學科別分類 學科別社會科學商學
中文摘要 近十年來,台灣金融市場持續創新,如陸續引進權證、期貨與選擇權等衍生性金融商品,除擴增投資人避險、套利與投機管道外,由於該等商品之交易與標的現貨市場密切連動,如何建構完善之交易機制以降低對標的現貨市場之衝擊,備受證券管理當局與學術界關注。另者,如何利用選擇權市場所隱含之波動資訊,進行投資與風險管理,更為投資人所關心。本論文即以台灣認購權證引進市場與台指期貨到期結算機制不同對現貨市場之衝擊,以及台灣隱含波動性模型之相對預測績效三個子題為研究主題。
第一個子題是以事件研究法,利用1997第3季至2004年底期間券商以29支電子個股為標的所發行之318支權證交易資料,分析認購權證之發行宣告效果。實證結果發現:(1) 權證發行多數集中於市場行情處於相對高檔時,且標的股票屬高估成長股居多,充分展現投資銀行之擇時與擇股發行能力;(2) 權證發行宣告日標的股出現正的異常報酬,且累積異常報酬達到最高,其後則反轉下降。對於連續被選為權證標的股票之熱門個股而言,因避險需求所引發之股價推升效果更是顯著;(3) 權證發行宣告對標的股票之交易量與流動性雖影響不大,然而,波動性已明顯降低。目前高槓桿特性之衍生性權證已成為新興市場小額投資人之重要投資工具,上開研究發現,有助於權證投資者對權證發行宣告日前後標的股票之價量表現,能有更深一層認識,實具重大意義。
第二個子題是以1998年9月至2004年12月台股指數與台積電日內交易資料,依最後結算價變更日分為兩個子期,分析在不同結算制度下,台指期與摩台
指期到期日對台股現貨市場之影響。實證結果發現:(1) 到期日效應主要來自摩台指期到期日而非台指期到期日;(2) 摩台指期到期日,台股現貨市場有顯著價
格反轉、價格波動與異常交易量現象,且該等到期日效應於台灣證券交易所變更
收盤制度 (由連續競價制改為最後5分鐘集合競價制) 後,非但未見降低,反而
益形顯著,足以證明任何未考量買賣訂單失衡因素之集合競價制度,將直接影響集合競價報價效率性,亦間接造成更為顯著之到期日效應;(3) 與收盤結算制度相較,平均價之結算制度似乎更能降低期貨市場之到期日效應。本論文在不同結算制度之研究設計下,針對性質相近之台指期與新加坡摩台指期到期日效應所進行之比較分析結果,對新興市場衍生性商品制度之規劃,實具有重大意義。
第三個子題則是以台股指數日內五分鐘報酬平方和計算真實波動性,分別以單變量與包含迴歸,分析比較2001年至2005年期間各波動性模型在5、10、15與20天等四個台指選擇權到期循環中之預測績效,特別強調無模型設定隱含波動性(model-free implied volatility, MF-IV) 模型與Black-Scholes隱含波動性 (BS-IV) 模型預測能力與隱含資訊之比較。實證結果發現,整體而言,考慮所有履約價格而非單一特定價格之MF-IV模型似乎優於BS-IV模型。值得一提的是,MF-IV完全包含歷史波動性模型與GARCH (1,1) 模型在預測未來5天買權到期時現貨市場真實波動性所具有之資訊。由於新興市場如台灣股票市場可能因漲跌停、放空限制、交易成本與追蹤誤差等市場障礙因素,促使BS-IV模型之適用性備受質疑,本實證結果,有助於台股市場投資人能以更有效率之隱含波動資訊,制定其投資策略。
英文摘要 Over the past decade, investors have witnessed a rich variety of securities innovations in Taiwan, including the introduction of derivative warrants, futures and options. The innovations provide alternative instruments for hedging, arbitraging, and speculating. Regulators and academicians concern the trading mechanism of derivatives markets which may impact upon the underlying markets. In addition, market investors concern the implied volatility information from the options market which is important for evaluating investment decision and risk management. This dissertation focuses on three issues concerning the introduction effects of Taiwan derivative call warrants, the expiration day effects of Taiwan index futures, and the comparison of the relative forecasting performance of the implied volatility models in Taiwan.
The first essay employs an event-study methodology to examine whether the introduction of derivative warrants has any impact on the underlying stocks. Using the trading data of 318 Taiwan derivative call warrants issued on the 29 underlying stocks belonging to electronic sector from the third quarter of 1997 to the end of 2004, we have following results: (i) The warrant issuers show a good sense of timing and selecting in the issuing of warrants by writing warrants at market relative high and by selecting overvalued stocks as the issuing targets. (ii) There are positive abnormal returns and the CAR appears to peak at the announcement day, but returns decline thereafter. The effects of hedging demand on the underlying asset prices are more significant when there are several consecutive warrant issuances on a single underlying stock. (iii) Trading volume and liquidity are less affected, however, the volatility of the underlying asset decreases after the introduction of warrants.
As leveraged derivative warrants become important trading alternatives to small investors in emerging markets, the findings of this essay could help warrant investors to gain a better understanding of underlying stock prices and volume behavior surrounding the event days related to the issuing of derivative warrants.
In the second essay, we examine the impacts of the expiration day effects of the Taiwan Futures Exchange (TAIFEX) traded Taiwan Stock Exchange Capitalization Weighted Stock Index futures (TX) and the Singapore Exchange (SGX) traded Morgan Stanley Capital International Taiwan Stock Index (MSCI-TW) futures on the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Taiwan Semiconductor Manufacturing Company (TSMC), with concerns of the effect of different settlement procedures. The entire sample period, from September 1998 to December 2004, is divided into two sub-samples according to the settlement procedures.
The main findings are as follows: (i) Expiration day effects mainly stem from the expiration of the MSCI-TW futures rather than the TX. (ii) There are significant price reversal, volatility and abnormal volume on the expiration of the MSCI-TW futures, with the expiration day effects becoming much more significant following the adoption of the 5-minute closing call procedure by the Taiwan Stock Exchange Corporation (TSEC). Evidence suggests that any call auction design which fails to consider order imbalances will have a direct impact on the efficiency of call auction prices; accordingly, more significant expiration day effects exist. (iii) Using an average price settlement based on a longer period would mitigate expiration day effects much better than a closing price settlement. Given the different settlement methods between the TAIFEX and SGX, the analysis of the expiration day effects for both markets should be particularly informative in terms of guiding the mechanism design for the emerging derivatives markets.
In the third essay, we use sum of square 5-minute return of the TAIEX to calculate the realized volatility (RV), and conduct univariate and encompassing regressions to compare the relative performance perform of various volatility models based on 5-, 10-, 15- and 20-day forecast horizons over the life of the TAIEX options (TXO) during the period from 2001 to 2005, emphasizing in comparing the relative forecast ability and implied information content between the model-free implied volatility (MF-IV) and the Black-Scholes implied volatility (BS-IV). Evidences show that the MF-IV, which considers all strike prices instead of a single price, outperforms the BS-IV. It is worth noting that the MF-IV is informational efficiency and subsumes all information contained in the historical volatility (HV) and GARCH (1,1) in forecasting future RV on weekly horizon over the life of the TXO contract. For emerging derivative market such as Taiwan equity market, the effects of market friction may cause the BS-IV model to be mis-pecified. The findings of this essay provide investors with alternative IV measure for making their investment strategy in Taiwan options market.
論文目次 TABLE OF CONTENTS
Page
LIST OF TABLES ix
LIST OF FIGURES x
Chapter 1 Introduction of Dissertation 1
Chapter 2 Market Impacts of Derivative Warrants in Taiwan: Do They Differ from Those of Standard Options? 4
2.1. Introduction 4
2.2. The Different Impacts of Warrants and Options 6
2.3. Institutional Setting and Data 9
2.4. Methodology and Empirical Results 14
2.4.1. Volatility Effect 14
2.4.2. Hedging Effect 16
2.4.3. Price Manipulation Effect 18
2.4.4. Issuers’ Ability of Selecting 22
2.4.5. Trading Volume and Liquidity 25
2.5. Conclusions 27
Chapter 3 Expiration Day Effects of Taiwan Index Futures: The Case of the
Singapore and Taiwan Futures Exchanges 29
3.1. Introduction 29
3.2. Related Issues on Expiration Day Effects 31
3.3. Institutional Setting and Data 34
3.4. Methodology and Empirical Results 37
3.4.1. Abnormal Returns 37
3.4.2. Return Volatility 41
3.4.3. Price Reversals 44
3.4.4. Volume Effects 47
3.5. Conclusions 51
Chapter 4 The Forecasting Performance of Alternative Volatility Models in Taiwan 52
4.1. Introduction 52
4.2. Related Literatures and Institutional Setting 54
4.3. Methodology 57
4.3.1. Historical Volatility 58
4.3.2. GARCH(1,1) 59
4.3.3. Black-Scholes Implied Volatility 60
4.3.4. Model-Free Implied Volatility 61
4.3.5. Volatility Forecast Evaluation Criteria 63
4.4. Data and Empirical Results 64
4.4.1. Summary Statistics Analysis 65
4.4.2. Forecast Error Analysis 67
4.4.3. Univariate Regression Analysis 68
4.4.4. Encompassing Regression Analysis 69
4.5. Conclusions 73
Chapter 5 Conclusions of Dissertation 76
References 79
Appendix A 85




LIST OF TABLES
Page
Table 2-1 TAIEX and warrants issued from Q3 of 1997 to Q4 of 2004 12
Table 2-2 Wilcoxon rank-sum tests of adjusted volatility ratio 15
Table 2-3 CAR of underlying stocks before and after warrant introduction 18
Table 2-4 Regression results of intra-day return of the underlying stocks during the primary market period 21
Table 2-5 Regression results of intra-day volatility of the underlying stocks during the primary market period 22
Table 2-6 Regression results of the overreaction hypothesis 24
Table 2-7 Wilcoxon rank-sum tests of market-adjusted trading value, volume and liquidity 26
Table 3-1 Pooled and matched-pair t-test for the price effect 40
Table 3-2 Pooled F-tests for the return volatility effect 43
Table 3-3 Mean price reversal effect 47
Table 3-4 Pooled and matched-pair t-test for the volume effect 50
Table 4-1 Market volume and daily mean volume of the TXO 56
Table 4-2 Summary statistics of various volatility measures 66
Table 4-3 Forecast errors of various forecast methods 67
Table 4-4 Results of univariate regression 69
Table 4-5 Results of encompassing regression of informational efficiency for the BS-IV 70
Table 4-6 Results of encompassing regression of informational efficiency for the MF-IV 72

LIST OF FIGURES
Page
Figure 2-1 Hedging effect and primary market effect 10
Figure 2-2 TAIEX and warrants issued from Q3 of 1997 to Q4 of 2001 13
Figure 2-3 TAIEX and warrants issued from 2001 to 2004 13
Figure 4-1 Four major forecast horizons 58


參考文獻 References
Aitken, M. and Segara, R. (2005). Impact of warrant introductions on the behaviour of underlying stocks: Australian evidence. Accounting and Finance, 45, 127-144.
Alkebäck, P. and Hagelin, N. (2004). Expiration day effects of index futures and options: Evidence from a market with a long settlement period. Applied Financial Economics, 14, 385-396.
Amihud, Y., Mendelson, H. and Lauterbach, B. (1997). Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics, 45, 365-390.
Andersen, T. G. and Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39 (4), 885-905.
Andersen, T. G., Bollerslev, T. and Cai, J. (2000). Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets, Institutions and Money, 10, 107-130.
Andersen, T. G. (2000). Some reflections on analysis of high-frequency data. Journal of Business & Economic Statistics, 18 (2), 146-153.
Andersen, T. G., Bollerslev, T., Diebold, F. X. and Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61, 43-76.
Andreou, E. and Ghysels, E. (2002). Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results. Journal of Business & Economic Statistics, 20 (3), 363-376.
ap Gwilym, O. (2001). Forecasting volatility for options pricing for the U.K stock market. Journal of Financial Management and Analysis, 14, 55-62.
Aragó, V. and Fernández, A. (2002). Expiration and maturity effect: Empirical evidence from the Spanish spot and futures stock index. Applied Economics, 34, 1617-1626.
Bandi, F. M. and Russell, J. R. (2003). Microstructure noise, realized volatility, and optimal sampling. Working paper, University of Chicago Graduate School of Business.
Barndorff-Nielsen, O. E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck
-based models and some of their uses in financial economics. Journal of the Royal Statistical Society B, 63, 167-241.
Barndorff-Nielsen, O. E., and Shephard, N. (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of Statistic Society, 64, 253-280.
Bates, D. S. (2000). Post-’87 crash fears in the S&P 500 futures options market. Journal of Econometrics, 94, 181-238.
Beckers, S. (1981). Standard deviations implied in option prices as predictors of future stock price variability. Journal of Banking and Finance, 5, 363-381.
Black, F. and. Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81 (3), 637-54.
Board, J. and Sutcliffe, C. (1996). The dual listing of stock index futures: Arbitrage, spread arbitrage and currency risk. The Journal of Futures Markets, 16, 29-54.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327.
Britten-Jones M. and Neuberger, A. (2000). Option price, implied volatility process, and stochastic volatility process. Journal of Finance, 55, 839-866.
Brock, W. A. and Kleidon, A. W. (1992). Periodic market closure and trading volume. Journal of Economic Dynamics and Control, 16, 451-489.
Chamberlain, T. W., Cheung, S. C. and Kwan, C. C. Y. (1989). Expiration-day effects of index futures and options: Some Canadian evidence. Financial Analysts Journal, 45, 67-71.
Chan, Y. and Wei, K. C. (2001). Price and volume effects associated derivative warrant issuance on the Stock Exchange of Hong Kong. Journal of Banking and Finance, 25, 1401-1426.
Chen, K. C. and Wu, L. (2001). Introduction and expiration effects of derivative equity warrants in Hong Kong. International Review of Financial Analysis, 10, 37-52.
Chen, S. Y., Lin, C. -C., Chou, P. -H. and Hwang, D. -Y. (2002). A comparison of hedge effectiveness and price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures. Review of Pacific Basin Financial Markets and Policies, 5, 277-300.
Chen, Y. J., Duan, J. C. and Hung, M. W. (1999). Volatility and maturity effects in the Nikkei index futures. The Journal of Futures Markets, 19, 895-909.
Chiang, R., Lee, C.-S. and Hsieh, W-L. (2000). The market, regulations and issuing strategies of covered warrants in Taiwan. Review of Pacific Basin Financial Markets and Policies, 3, 87-105.
Chiras, D.P. and Manaster, S. (1978). The information content of option prices and a test of market efficiency. Journal of Financial Economics, 6, 213-234.
Chopra, N., Lakonishok, J. and Ritter, J. (1992). Measuring abnormal performance: Do stock overreact? Journal of Financial Economics, 31, 235-268.
Chou, R. K. and Lee, J.-H. (2002). The relative efficiencies of price execution between the Singapore exchange and the Taiwan futures exchange. The Journal of Futures Markets, 22, 173-196.
Chow, Y. F., Yung, H. H. M. and Zhang, H. (2003). Expiration day effects: The case of Hong Kong. The Journal of Futures Markets, 23, 67-86.
Christensen, B. J. and Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of Financial Economics, 50, 125-150.
Chung, H., Lee, C.-S. and Wu, S. (2002). The effects of model errors and market imperfections on financial institutions writing derivative warrants: Simulation evidence from Taiwan. Pacific-Basin Finance Journal, 10, 55-75.
Comerton-Forde, C. and Rydge, J. (2006a). Call auction algorithm design and market manipulation. Journal of Multinational Financial Management, 16, 184-198.
Comerton-Forde, C. and Rydge, J. (2006b). The influence of call auction algorithm rules on market efficiency. Journal of Financial Markets, 9, 199-222.
Conrad, J. (1989). The price effect of options introduction. Journal of Finance, 44, 487-498.
Corredor, P., Lechón, P. and Santamaría, R. (2001). Option-expiration effects in small markets: The Spanish Stock Exchange. The Journal of Futures Markets, 21, 905-928.
Damodaran, A. and Lim, J. (1991). The effects of option listing on the underlying stocks’ return process. Journal of Banking and Finance, 15, 647-664.
Day, T. E. and Lewis, C. M. (1988). The behavior of the volatility implicit in the prices of stock index options. Journal of Financial Economics, 22, 103-122.
Detemple, J. and Jorion, P. (1990). Option introduction and stock returns. Journal of Banking and Finance, 14, 781-801.
Diz, F. and Finucane, T. J. (1998). Index option expirations and market volatility. Journal of Financial Engineering, 7, 1-23.
Draper, P. and Fung, J. K. W. (2002). A Study of arbitrage efficiency between the FTSE-100 index futures and options contracts. The Journal of Futures Markets, 22 (1), 31-58.
Dumas, B., Fleming, J. and Whaley, R. E. (1998). Implied volatility functions: Empirical tests. Journal of Finance, 53 (6), 2059-2106.
Elyasiani, E., Hauser, S. and Lauterbach, B. (2000). Market response to liquidity improvements: Evidence from exchange listings, The Financial Review, 41, 1-14.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kindom inflation. Econometrica, 50, 987-1008.
Fair, R. C. and Shiller, R. J. (1990). Comparing information in forecasts from econometric models. American Economic Review, 80, 375-389.
Feinstein, S. P. and Goetzmann, W. N. (1988). The effect of the ‘triple witching hour’ on stock market volatility. Economic Review (September/October), 73, 2-18.
Fleming, J. (1998). The quality of market volatility forecasts implied by S&P100 index options prices. Journal of Empirical Finance, 5, 317-345.
Foster, F. D. and Viswanathan, S. (1993). Variations in trading volume return volatility and trading costs: Evidence on recent price formation models. Journal of Finance, 48, 187-211.
French, K. R. and Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics, 17, 5-26.
Ghysels, E., Santa-Clara, P. and Valkanov, R. (2006). Predicting volatility: Getting the most out of return data sampled at different frequencies. Journal of Econometrics, 131, 59-95.
Green, T. C. and Figlewski, S. (1999). Market risk and model risk for a financial institution writing options. Journal of Finance, 54, 1465-1499.
Hamill P. A., Opong, K. K. and McGregor, P. (2002). Equity option listing in the UK: A comparison of market-based research methodologies. Journal of Empirical Finance, 9, 91-108.
Hancock, G. D. (1993). Whatever happened to the triple witching hour? Financial Analysts Journal, 49, 66-72.
Harris, L. (1986). A transaction data study of weekly and intra-day patterns in stock returns. Journal of Financial Economics, 16, 99-117.
Herbst, A. F. and Maberly, E. D. (1990). Stock index futures, expiration day volatility, and the “special” Friday opening: A note. The Journal of Futures Markets, 10, 323-325.
Hsieh, G. W.-L. (2004). Regulatory changes and information competition: The case of Taiwan index futures. The Journal of Futures Markets, 24, 399-412.
Jain, P.C. and Joh, G.-H. (1988). The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis, 23, 269-283.
Jiang, G. J. and Tian, Y. S. (2005). The model-free implied volatility and its information content. Review of Financial Studies, 18, 1305-1342.
Jorion, P. (1995). Predicting volatility in foreign exchange market. Journal of Finance, 50, 507-528.
Kan, A. C. N. (2001). Expiration-day effect: Evidence from high-frequency data in the Hong Kong stock market. Applied Financial Economics, 11, 107-118.
Karolyi, G. A. (1996). Stock market volatility around expiration days in Japan. Journal of Derivatives, 4, 23-43.
Kroner, K. F. (1996). Creating and using volatility forecasts. Derivatives Quarterly, 39-53.
Kumar R., Sarin, A. and Shastri, K. (1998). The impact of options trading on the market quality of the underlying security: An empirical analysis. Journal of Finance, 53, 717-732.
Latane, H. A., and Rendleman, Jr. R. J. (1976), Standard deviations of stock price ratios implied in options price. Journal of Finance, 31, 361-381.
Lee, C. I. and Mathur, I. (1999). The influence of information arrival on market microstructure: Evidence from three related markets. The Financial Review, 34, 1-26.
Lee, J. H. and Nayar, N. (1993). A transactions data analysis of arbitrage between index options and index future. The Journal of Futures Markets, 13, 889–902.
Liu, C-S. and Ziebart, D. A. (1999). Anomalous security price behavior following management earnings forecasts. Journal of Empirical Finance, 6, 405-430.
Madhavan, A. (1992). Trading mechanisms in securities markets. Journal of Finance, 47, 607-641.
Madhavan, A. and Panchapagesan, V. (2000). Price discovery in auction markets: A look inside the black box. The Review of Financial Studies, 13, 627-658.
Mayhew, S. (2000). The impact of derivative on cash markets: What have we learned? Working paper, University of Georgia.
Mayhew, S. and Mihov, V. (2005). Short sale constraints, overvaluation, and the introduction of options. AFA 2005 Philadelphia Meetings.
Newey, W. K. and West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55 (3), 703-708.
Ni, S. X., Pearson, N. D., and Poteshman, A. M. (2005). Stock price clustering on option expiration dates. Journal of Financial Economics. Forthcoming.
Pagano, M. S. and Schwartz, R. A. (2003). A closing call’s impact on market quality at Euronext Paris. Journal of Financial Economics, 68, 439-484.
Poon, S.-H., and Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review, Journal of Economic Literature, 41, 478-539.
Roope, M. and Zurbruegg, R. (2002). The intraday price discovery process between the Singapore exchange and Taiwan futures exchange. The Journal of Futures Markets, 22, 219-240.
Ross, S. A. (1976). Options and efficiency. Quarterly Journal of Economics, 90, 75-89.
Schlag, C. (1996). Expiration day effects of stock index derivatives in Germany. European Financial Management, 1, 69-95.
Schmalensee, R. and Trippi, R. R. (1978). Common stock volatility expectations implied by option premia. Journal of Finance, 33(1), 129-147.
Sofianos, G. (1994). Expirations and stock price volatility. Review of Futures Markets, 13, 39-108.
Sorescu, S. (2000). The effect of options on stock prices: 1973-1995. Journal of Finance, 55, 487-514.
Stoll, H. R. and Whaley, R. E. (1987). Program trading and expiration-day effects. Financial Analysts Journal, 43, 16-28.
Stoll, H. R. and Whaley, R. E. (1991). Expiration-day effects: What has changed? Financial Analysts Journal, 47, 58-72.
Stoll, H. R. and 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, 22, 139-174.
Stucki, T. and Wasserfallen, W. (1994). Stock and option markets: The Swiss evidence. Journal of Banking and Finance, 18, 881-893.
Szakmary, A., Ors, E., Kim, J. K. and Davidson, W. N. (2003). The predictive power of implied volatility: evidence from 35 futures markets. Journal of Banking & Finance, 27, 2151-2175.
Vipul (2005). Futures and options expiration-day effects: The Indian evidence. The Journal of Futures Markets, 25, 1045-1065.
Watt, W. H., Yadav, P. and Draper, P. (1992). The impact of option listing on underlying stock returns: The U. K. evidence. Journal of Business Finance and Accounting, 19, 485-503.
Werner, I. M. and Kleidon, A. W. (1996). UK and US trading of British cross-listed stocks: An intra-day analysis of market integration. Review of Financial Studies, 9, 619-664.
Whaley, R. E. (2003). Derivatives. In: Constantinides, G. M., Harris, M., Stulz, R. (Eds.), Handbook of the Economics of Finance, Elsevier Science B.V., 1127-1204.
Wood, R. A., McInish, T. H., and Ord, J. K. (1985). An investigation of transactions data for NYSE stocks. Journal of Finance, 40, 723-739.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2010-01-31公開。
  • 同意授權瀏覽/列印電子全文服務,於2010-01-31起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信