- 期刊
The Impacts of Option-Listing on Systematic Risk and Volatility of Underlying Stock Returns in Taiwan Stock Exchange
並列摘要
Based on the market model, adding dummy variables into GARCH (1, 1) procedure, this research measures the influence of options listing on the volatility and market risk of underlying stock in Taiwan stock exchange. The stocks in the same industry without options listing are chosen as the contrast stocks to examine whether the volatility and systematic risk change due to the options listing or other factors. Our empirical results reveal that the impact of options listing on the volatility and market risk of underlying stock is neutral.
參考文獻
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延伸閱讀
- 黃少暘（2014）。An Empirical Study of Combining Technical Analysis With Value Stock Selection Strategy - Case of Taiwan Stock Market〔碩士論文，朝陽科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0078-2611201410182751
- 王鴻維（2014）。The Relations between Idiosyncratic Volatility Risk and Stock Return in Taiwan Stock Market〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2014.00777
- 林曉梅（2007）。The Relations between Idiosyncratic Volatility Risk and Stock Return in Taiwan Stock Market〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2007.00377
- Chen, Y. H. (2018). The Effects of the Relaxation of Stock Price Limits on Market Quality in the Taiwan Stock Exchange [master's thesis, National Chi Nan University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0020-0307201814575000
- 廖進祥（2018）。The Impacts of the Institutional Investors Trade Activity on volatility in Taiwan Stock and Futures Markets〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-1407201810494000