參考文獻 |
Admati, A., and Pfleiderer, P., 1988. A theory of intraday patterns: Volume and price volatility, Review of Financial Studies 1, 3-40.
Amin, K.I., Lee, C.M.C., 1997. Option trading, price discovery and earnings news dissemination, Contemporary Accounting Research 14, 153–192.
Back, K., 1992. Asymmetric information and options, Review of Financial Studies 6, 435–472.
Barber, B.M., Lee, Y.T., Liu, Y.J., Odean, T., 2009. Just How much do individual investors lose by trading?, Review of Financial Studies 22, 609–632.
Biais, B., Hillion, P., 1994. Insider and liquidity trading in stock and options markets, Review of Financial Studies 7, 743–780.
Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities, Journal of Political Economy 81, 637–654.
Cao, C., Chen, Z., Griffin, J.M. 2005. Informational contents of option volume prior to takeovers, Journal of Business 78, 1073–1109.
Cao, M., Wei, J., 2010. Option market liquidity: Commonality and other characteristics, Journal of Financial Markets, 13, 20–48.
Chang, C.-C., Hsieh, P.-F., Lai, H.-N. 2009. Do informed option investors predict stock returns? Evidence from the Taiwan Stock Exchange, Journal of Banking and Finance 33, 757–764.
Chang, C.-C., Hsieh, P.-F., Wang, Y.-H., 2010. Information content of options trading volume for future volatility: Evidence from the Taiwan options market, Journal of Banking and Finance 34, 174–183.
Chaput, J.S., Ederington, L.H., 2003. Option spread and combination trading, Journal of Derivatives 10, 70–88.
Chern, K., Tandon, K., Yu, S., Webb, G., 2008. The information content of stock split announcements: Do options matter?, Journal of Banking and Finance 32, 930–946.
Chou, R.K., Wang, Y.Y., 2009. Strategic order splitting, order choice and aggressiveness: Evidence from the Taiwan Futures Exchange, Journal of Futures Markets 29, 1102–1129.
Detemple, J., Selden, L., 1991. A general equilibrium analysis of option and stock market interactions, International Economic Review 32, 279–303.
Easley, D., O’Hara, M., Srinivas, P., 1998. Option volume and stock prices: evidence on where informed traders trade, Journal of Finance 53, 431–465.
Froot, K.A., O’Connell, P.G.J., Seasholes, M.S., 2001. The portfolio flows of international investors, Journal of Financial Economics 59, 151–193.
Hakansson, N., 1982. Changes in the financial market: welfare and price effects and the basic theorems of value conservation, Journal of Finance 37, 977–1004.
Kamesaka, A., Nofsinger, J.R., and Kawakita, H., 2003. Investment patterns and performance of investors groups in Japan, Pacific-Basin Finance Journal 11, 1–22.
Kyle, A., 1985. Continuous auctions and insider trading, Econometrica 53, 1315–1335.
Lin, M-C., 2010. The dynamics of indidual and institutional trading in the TAIEX futures markets, International Journal of Electronic Business Management 8, 253–262.
Naik, V., Lee, M., 1990. General equilibrium pricing of options on the market portfolio with discontinuous returns, Review of Financial Studies 3, 493–521.
Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market, Journal of Finance 63, 1059–1091.
Pan, J., Liu, J., 2003. Dynamic derivative strategies, Journal of Financial Economics 69, 401–430.
Pan, J., Poteshman, A.M., 2006. The information in options volume for future stock prices, Review of Financial Studies 19, 871–908.
Richards, A., 2005. Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets, Journal of Financial and Quantitative Analysis 40, 1–27.
Roll, R., Schwartz, E., Subrahmanyam, A., 2010. O/S: The relative trading activity in options and stock, Journal of Financial Economics 96, 1–17.
Ross, S., 1976. Options and efficiency, Quarterly Journal of Economics 90, 75–89.
|