연구동향 분석

“코스피200 선물시장의 수익률, 변동성, 거래량 및 미결제약정간의 관련성”

문규현 홍정효 2007년

논문상세정보
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' “코스피200 선물시장의 수익률, 변동성, 거래량 및 미결제약정간의 관련성”' 의 참고문헌

  • 한국주식시장에서의 거래량에 의한 선도-지연효과 연구
    박영규 32 2 105-139 [2003]
  • 주가와 거래량간의 선형 및 비선형 인과관계: 한국 주식시장에서의 실증분석
    김규영 12 1-20 [1996]
  • 주가변동과 거래량 이론과 실증적 검정
    정종락 309-336 [1987]
  • 시장정보가 과연 일중 주가 변동성과 거래량에 반영되는가?
    길재욱 34 1 - [2005]
  • 미국 증권시장의 한국 증권시장에대한 정보이전효과에 관한 실증적 연구; 대칭적·비대칭적 정보이전효과
    홍정효 금융연구 10 1 61-93 [2005]
  • 국채선도금리(Forward rate)의 효율성(efficiency)에 관한 연구
    문규현 22 2 1-24 [2005]
  • 거래량과 주가변화에 대한 연구
    진태홍 16 513-526 [1994]
  • evidence from futures market Journal of Financial and Quantitative Analysis
    and Seguin me 21-39 [1993]
  • The price-volume relation on speculative markets
    Tauchen eco metrica 371-396 [1983]
  • The Relationship Between Price Changes and Trading Volume Journal of Financial and Quantitative Analysis
    Jonathan M 109-126 [1987]
  • The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility
    Chen, Gong-meng 38 153-174 [2001]
  • The Distribution of Common Stock Price Changes An Application of Transactions Time and Subordinated Stochastic Models Journal of Financial Quantitative Analysis
    Westerfield 743-765 [1977]
  • Testing for a Unit Root in Time Series Regression
    Phillips 335-346 [1988]
  • Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation Journal of Finance
    Hiemstra 1639-1664 [1994]
  • Spectral Analysis of New York Stock Market Prices
    Granger 1-27 [1963]
  • Return-volume dynamics in futures markets
    Kocagil, A. E 18 399-426 [1998]
  • Return Volatility and Trading Volume : An Information Flow Interpretation of Stochastic Volatility
    Andersen, Torben 51 169-204 [1996]
  • Price volatility, trading volume, and market depth : evidence from the Japanese stock index futures market
    Watanave, T 11 651-658 [2001]
  • Futures Trading Activity and Commodity Cash Price Volatility
    Yang, J 32 297-323 [2005]
  • Estimation and Inference in Nonlinear Structural Models Journal of Economic and Social Measurement
    Berndt 653-665 [1974]
  • Conditional heteroskedasticity in asset returns
    Nelson eco metrica 347-370 [1991]
  • Can Speculative Trading Explain the Volume-Volatility Relation?
    Foster, F. Douglas 13 379-396 [1995]
  • Brownian Motion in the Stock Market
    Osborne 145-173 [1959]
  • An empirical examination of the relation between futures spreads volatility, volume, and open interest
    Girma, P. B 22 11 1083-1102 [2002]
  • A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets
    Jacobs, M 18 379-397 [1998]