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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77764

    Title: 交易量的信息含量:台湾期权市场的证据
    Other Titles: The information content of volume : The evidence of Taiwan's futures and option's market
    Authors: 鄭振龍;呂愷;林蒼祥
    Contributors: 淡江大學財務金融學系
    Date: 2012
    Issue Date: 2012-07-21 17:25:34 (UTC+8)
    Publisher: 中國金融學會
    Abstract: 本文应用台湾股指期权市场详细的交易数据,对台指期权交易量的信息含量进行了全面系统的实证检验。我们从全市场、不同投资者以及不同在值程度期权分类角度分别构建了多个五分钟交易量指标,并检验它们对未来台指走势的预测能力。我们发现,全市场的期权交易量指标基本不具备未来指数走势预测能力,但境内机构投资者和境外机构投资者交易量中包含显著的预测信息,价外期权的信息明显地优于价内期权和平价期权。
    Relation: 金融研究 2012(6)
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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