المؤلفون: 林雅惠, Lin, Ya-Hui

المساهمون: 淡江大學財務金融學系碩士班, 邱建良

مصطلحات موضوعية: 淨買壓, 隱含波動率, 套利限制假說, 學習假說, 槓桿效果, 資訊流動效果, net buying pressure, Implied volatility, Limits to Arbitrage Hypothesis, Learning Hypothesis, Leverage Effect, Information Flow Effect

Relation: 參考文獻 中文部分 1. 李淳祥 (2006)，台指選擇權市場淨買壓假說之驗證。國立政治大學財務管理研究所碩士論文。 2. 林宥辰 (2007)，台指選擇權到期日效應與隱含波動度微笑曲線之探討。國立中央大學企業管理研究所碩士論文。 3. 姜書甄 (2005)，淨買壓解釋隱含波動度微笑現象。淡江大學財務金融研究所碩士論文。 4. 湯毅鋒 (2007)，投資環境對淨買壓影響之探討。國立中央大學企業管理研究所碩士論文。 5. 謝承霈 (2009)，選擇權淨買壓與隱含波動度。國立屏東科技大學財務金融研究所碩士論文。 6. 蘇世閎 (2005)，指數選擇權市場淨買壓對隱含波動率變動的影響：台指選擇權市場是避險者為主的市場嗎？。國立交通大學管理科學研究所碩士論文。 英文部分 1. Bakshi, G., Cao, C., and Chen, Z., 1997, Empirical performance of alternative option pricing models, Journal of Finance, 52, 2003-2049. 2. Black, F. and Scholes M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659. 3. Black, F., 1976, Studied of stock price volatility changes, in Proceedings of the 1976 Meetings of the Business and Economics Section, 177-181. 4. Bollen, N. P., and Whaley R. E., 2004, Does net buying pressure affect the shape of implied volatility functions? Journal of Finance, 59, 711-753. 5. Brailsford, T. J., and Faff, R. W., 1996, An evaluation of volatility forecasting techniques, Journal of Banking and Finance, 20, 419-438. 6. Chan, K. C., Chen, C. R., and Lung P. P., 2006, Testing the net buying pressure hypothesis during the Asian financial crisis-evidence from Hang Seng index options, Journal of Financial Research, 29, 43-62. 7. Chan, K. C., Chen, C. R., and Lung P. P., 2010, Business cycles and net buying pressure in the S&P500 futures options, European Financial Management, 16, 624-257. 8. Chan, K. C., Cheng, L. T. W., and Lung, P. P., 2004, Net buying pressure, volatility smile, and abnormal profit of Hang Seng index options, Journal of Futures Markets, 24, 1165-1194. 9. Chiras, D., and Manaster, S., 1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213-234. 10. Cho, D. P., and Frees, E. W., 1988, Estimating the volatility of discrete stock price, Journal of Finance, 43, 541-466. 11. Christie, A. A., 1982, The stochastic behavior of common stock variances: value, leverage and interest rate effects, Journal of Financial Economics, 10, 407-432. 12. Clark, P. K., 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135-155. 13. Duffee, G. R., 1995, Stock returns and volatility: a firm level analysis, Journal of Financial Economics, 37, 399-420. 14. Epps, T. W., and Epps M. L., 1976, The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distribution hypothesis, Econometrica, 44, 302-321. 15. Fleming, J., Ostdiek, B., and Whaley, R. E., 1995, Predicting stock market volatility: a new measure, Journal of Futures Markets, 15, 265-302. 16. Giot, P., 2002a, Implied volatility indices as leading indicators of stock index returns?, Working Paper, CORE, University of Leuvain. 17. Giot, P., 2002b, The information content of implied volatility indexes for forecasting volatility and market risk, Working Paper, CORE, University of Leuvain. 18. Kang, J., and Park, H. J., 2008, The information content of net buying pressure: evidence from the KOSPI200 index option market, Journal of Financial Markets, 11, 36-56. 19. Nelson, D., 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-379. 20. Newey, W. K., and West, K. D., 1987, A sample, positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708. 21. Poterba, J. M., and Summers, L. H., 1986, The persistence of volatility and stock market fluctuations, American Economic Reviews, 76, 1141-1151. 22. Rubinstein, M., 1985, Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August23, 1976 through August 31,1987, Journal of Finance, 40, 455-480. 23. Schwert, G. W., 1990, Stock market volatility, Financial Analysts Journal, 46, 23-34. 24. Shiu, Y. M., Pan, G. G., Lin, S. H., and Wu, T. C., 2010, Impact of net buying pressure on changes in implied volatility: before and after the onset of the subprime crisis, Journal of Derivatives, 17, 54-66. 25. Tauchen, G. E., and Pitts, M., 1983, The price variability-volume relationship on speculative markets, Econometrica, 51, 485-505. 26. Whaley, R. E., 2000, The investor fear gauge, Journal of Portfolio Management, 26, 12-17.; U0002-2506201100234700; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73960; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/73960/-1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73960
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/73960/-1/index.html

المؤلفون: 林雅惠

مصطلحات موضوعية: 淨買壓, 隱含波動率, 套利限制假說, 學習假說, 槓桿效果, 資訊流動效果

Relation: 兼任教師送審著作 https://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22099TKU05214031%22.&searchmode=basic; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.html; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/投資人淨買壓對隱含波動率之探討目次.pdf; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/投資人淨買壓對隱含波動率之探討摘要.pdf

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.html
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/投資人淨買壓對隱含波動率之探討目次.pdf
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/投資人淨買壓對隱含波動率之探討摘要.pdf