參考文獻: | 一、中文部份
1. 呂惠甄(2002),外資買賣超對現貨與期貨市場之波動探討-波動轉換模型之應
用,國立臺北大學合作經濟研究所碩士論文。
2. 李松樵(2006),外資介入下台股現貨、台股期貨與摩根台股期貨之關聯性
VEC-GJR GARCH模型之應用,國立臺灣海洋應用經濟研究所碩士論文。
3. 林榮順(2007),選擇權未平倉量與加權股價指數之相關性探討,朝陽科技大
學財務金融研究所,碩士論文。
4. 許維哲(2010),期貨報酬率與成交量、未平倉量關係之驗證-分量迴歸模型
之應用,淡江大學財務金融研究所碩士論文。
5. 陳焙焿(2007),台灣股價指數期貨報酬率與成交量關係之研究,南華大學財
務管理研究所碩士論文。
6. 黃莉青(2008),期貨市場三大法人之交易行為與台指期貨報酬之關聯性,國
立中央大學財務金融研究所碩士論文。
7. 楊奕農(2010),時間序列分析-經濟與財務上之應用,二版,雙葉書廊有限公司。
8. 廖彥豪(2006),三大機構投資人買賣超與台灣加權股價指數互動關係之研究
南華大學財務管理研究所碩士論文。
9. 廖仁杰(2010),三大法人未平倉量與成交量對臺股期貨報酬之研究,淡江大
學財務金融研究所碩士論文。
10. 廖朝正(2009),期貨三大法人未平倉部位與加權指數互動關係之研究,銘傳
大學財務金融碩士在職專班碩士論文。
11. 謝百庭(2008),大額交易人未平倉部位與期貨指數報酬、波動率關係探討,
國立中正大學財務金融研究所碩士論文。
二、英文部份
1. Bessembinder, H. and P. J. Seguin (1993), “Pricing Volatility, Trading Volume, and Market Depth : Evidence from Future Markets,” Journal of Financial and
Quantitative Analysis , Vol. 28, No. 1, pp. 21-39.
2. Boluch M. J. and T. W. Chamberlain (1997), “Option Volume and Stock Behavior: Some Evidence from the Chicago Board Option Exchange,” Atlantic Economic
Journal, Vol. 25, No. 4, pp. 358-370.
3. Bhuyan, R. and M. Chaudhury (2005), “Trading on the Information Content of Open Interest: Evidence from the US Equity Options Market,” The Journal of
Derivatives & Hedge Funds, Vol. 11, No. 1, pp. 16-36.
4. Bhuyan, R., P. A. Cheshier and D. H. Travis(2010), “LEAPS of Faith: A Trading Indicator Based on CBOE S&P 500 LEAPS Option Open Interest
Information,” Journal of Investing, Vol. 19, No. 2, pp. 85-95.
5. Chan, K., Y. P. Chung and W. M. Fong (2002), “The Informational Role of Stock and Option Volume ,” The Review of Financial Studies, Vol. 15,No. 4,
pp. 1049-1075.
6. Herbert J. H.(1995), “Trading Volume, Maturity and Natural Gas Futures Price
Volatility,” Energy Economics, Vol. 17,No. 4, pp. 293-299.
7. Liew, K. Y. and R. D. Brooks (1998), “Returns and Volatility in the Kulal Lumpur Crude Palm Oil Future Market,” The Journal of Future Markets, Vol. 18,
No. 8, pp. 985-999.
8. Lee, R. W. and C. H. Shen (1999), “Do Foreign Investments Affect Foreign Exchange and Stock Markets-the case of Taiwan,” Applied Economics, 19,
1303-1314.
9. Pisedtasalasai A. and A. Gunasekarage (2007), “Casual and Dynamic Relationship among Stock Return Volatility and Trading Volume: Evidence from Emerging Markets in the South-East Asia,” Asia-Pacific Finan Markets, Vol. 25,
pp.277-297.
10. Pati, P. C. (2008), “ The Relationship Between Price Volatility, Trading Volume and Market Depth: Evidence from an Emerging Indian Stock Index Futures
Market,” South Asian Journal of Management, Vol. 15, No. 2, pp. 25-46. |