到期日效應－價格反轉衍生之投資策略與結果檢視

Expiration-Day Effect－The Investment strategy and results view derived from price reversal

李研豪(Yen-Hau Li)

指導教授 ： 邱忠榮

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.01396

摘要

本篇摘要未授權

關鍵字

到期日效應 ； 價格反轉 ； 迴歸式檢驗 ； 投資模擬分析

並列摘要

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並列關鍵字

Expiration-Day Effect ； price reversal ； Regression testing ； Investment simulation analysis

參考文獻

16.闕河士與楊德源(2005)，「股價指數期貨到期日效應：以台灣股票市場為例」，財務金融學刊，第13卷(8月)，頁71-96。

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4. Chen, Wei-Kuang (2001), Derivatives Options, Futures And Swaps, BestWise Co.,Ltd.

5. Chou, Robin K. and Jie-Haun Lee (2002), "The Relative Effciencies of Price Execution between the Singapore Exchange and the Taiwan Futures Exchange", Journal of Futures Market, 22(2), 173-196.

6. JOSEPH K. W. FUNG and HAYNES H. M. YUNG(2009), "EXPIRATION-DAY EFFECTS—ANASIAN TWIST" ,The Journal of Futures Markets, Vol. 29, No. 5, 430–450.