臺大管理論叢
第
26
卷第
3
期
177
References
Aguenaou, S., Gwilym, O. A., and Rhodes, M. 2011. Open interest, cross listing, and
information shocks.
Journal of Futures Markets
, 31 (8): 755-778. doi: 10.1002/
fut.20494
Akaike, H. 1974. A new look at the statistical model identification.
IEEE Transactions on
Automatic Control
, 19 (6): 716-723. doi: 10.1109/TAC.1974.1100705
Amihud, Y. 2002. Illiquidity and stock returns: Cross-section and time-series effects.
Journal
of Financial Markets
, 5 (1): 31-56. doi: 10.1016/S1386-4181(01)00024-6
Amihud, Y., Mendelson, H., and Lauterbach, B. 1997. Market microstructure and securities
values: Evidence from the Tel Aviv Stock Exchange.
Journal of Financial
Economics
, 45 (3): 365-390. doi: 10.1016/S0304-405X(97)00021-4
Bessembinder, H., Chan, K., and Seguin, P. J. 1996. An empirical examination of
information, differences of opinion, and trading activity.
Journal of Financial
Economics
, 40 (1): 105-134. doi: 10.1016/0304-405X(95)00839-7
Bessembinder, H., and Seguin, P. J. 1992. Futures-trading activity and stock price volatility.
The Journal of Finance
, 47 (5): 2015-2034. doi: 10.2307/2329008
. 1993. Price variability, trading volume, and market depth: Evidence from futures
markets.
Journal of Financial and Quantitative Analysis
, 28 (1): 21-39. doi:
10.2307/2331149
Brockman, P., and Chung, D. Y. 1999. An analysis of depth behavior in an electronic, order-
driven environment.
Journal of Banking & Finance
, 23 (12): 1861-1886. doi:
10.1016/S0378-4266(99)00044-8
Chang, E., Chou, R. Y., and Nelling, E. F. 2000. Market volatility and the demand for
hedging in stock index futures.
Journal of Futures Markets
, 20 (2): 105-125. doi:
10.1002/(SICI)1096-9934(200002)20:2<105::AID-FUT1
>3.3.CO;2-H
Chen, C. D., and Tang, W. W. 2009. Are they hedgers or speculators? Evidence from South
Korea’s political elections.
Emerging Markets Finance and Trade
, 45 (1): 19-30.
doi: 10.2753/REE1540-496X450102
Chen, N. F., Cuny, C. J., and Haugen, R. A. 1995. Stock volatility and the levels of the basis
and open interest in futures contracts.
The Journal of Finance
, 50 (1): 281-300.
doi: 10.2307/2329246
Chou, R. K., and Wang, G. H. K. 2006. Transaction tax and market quality of the Taiwan
Stock Index Futures.
The Journal of Futures Markets
, 26 (12): 1195-1216. doi:
10.1002/fut.20238