淡江大學機構典藏:Item 987654321/77764
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 56831/90538 (63%)
Visitors : 12258463      Online Users : 60
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML462View/Open
    index.html0KbHTML25View/Open
    交易量的信息含量:台湾期权市场的证据.pdf1197KbAdobe PDF0View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback