期刊論文1. | Miller, E. M.(1988)。Why a weekend effect。Journal of Portfolio Management,14(1),43-48。 |
2. | Gibbons, Michael R.、Hress, P.(1981)。Day of the Week Effects and Asset Returns。The Journal of Business,54(4),579-596。 |
3. | 余尚武(19970000)。股價指數期貨之價格發現與領先效果之研究--Nikkei 225指數之實證。證券市場發展,9(3)=35,29-62。 延伸查詢 |
4. | Cheung, Yin-Wong、Lai, Kon S.(1993)。Finite-Sample Size of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics,55(3),313-328。 |
5. | Abraham, Abraham、Ikenberry, David L.(1994)。The Individual Investor and the Weekend Effect。Journal of Financial and Quantitative Analysis,29(2),263-277。 |
6. | Board, J. L. G.、Sutcliffe, C. M. S.(1988)。The Weekend Effect in UK Stock Market Returns。Journal of Finance and Accounting,15,199-213。 |
7. | Miller, M. H.(1990)。International competitiveness of U. S. futures markets。Journal of Financial Service Research,4,387-408。 |
8. | Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。 |
9. | Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。 |
10. | Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets,15(4),457-488。 |
11. | Booth, G.、Chowdhury, M.、Martikainen, T.、Tse, Y.(1997)。Intraday Volatility in International Stock Index Futures Markets: Meteor Showers of Heat Waves?。Management Science,43,1564-1576。 |
12. | Lee, T. H.、Tse, Y.(1996)。Cointegration Tests with Conditional Heteroskedasticity。Journal of Econometrics,73(2),401-410。 |
13. | 黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。 延伸查詢 |
14. | Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。 |
15. | Koutmos, G.、Tucker, M.(1996)。Temporal Relationships and Dynamic Interactions between Spot and Futures Stock Markets。Journal of Futures Markets,16(1),55-69。 |
16. | Shyy, Gang、Vijayraghavan, Vasumathi、Scott-Quinn, Brian(1996)。A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ Ask Quotes: the Case of France。Journal of Futures Markets,16(4),405-420。 |
17. | Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。 |
18. | Kutner, George W.、Sweeney, Robert J.(1991)。Causality Tests between the S&P 500 Cash and Futures Markets。Quarterly Journal of Business and Economics,30(2),51-74。 |
19. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 |
20. | Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。 |
21. | Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。 |
22. | Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。 |
23. | Pettengill, G. N.、Buster, D. E.(1994)。Variation in Return Signs: Announcements and the Weekday Anomaly。Quarterly Journal of Business and Economics,33,81-93。 |
24. | Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets,19(2),217-232。 |
25. | De Jong, Frank、Donders, Monique W. M.(1998)。Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market。European Finance Review,1(3),337-359。 |
26. | Herbst, Anthony F.、McCormack, Joseph P.、West, Elizabeth N.(1987)。Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts。The Journal of Futures Markets,7(4),373-381。 |
27. | Grunbichler, Andreas、Longstaff, Francis A.、Schwartz, Eduardo S.(1994)。Electronic Screen Trading and the Transmission of Information: An Empirical Examination。Journal of Financial Intermediation,3(2),166-187。 |
28. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。 |
29. | Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。 |
30. | 王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。 延伸查詢 |
31. | 劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系,34(1),73-109。 延伸查詢 |
32. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。 |
33. | French, Kenneth R.(1980)。Stock Returns and the Weekend Effect。Journal of Financial Economics,8(1),55-69。 |
34. | Lakonishok, Josef、Maberly, Edwin(1990)。The Weekend Effect: Trading Patterns of Individual and Institutional Investors。Journal of Finance,45(1),231-243。 |
35. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
36. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 |
37. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 |
38. | Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies,4(4),657-684。 |
39. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 |
40. | 林楚雄、劉維琪、吳欽杉(1997)。臺灣股票市場報酬的期望值與條件波動之關係。交大管理學報,17(3),103-124。 延伸查詢 |
41. | Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1990)。Intraday Relationship between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index。Journal of Banking & Finance,14,373-397。 |
42. | Keim, D. B.、Stambaugh, R. F.(1984)。A Further Investigation of the Weekend Effects in Stock Returns。The Journal of Finance,39,819-837。 |
43. | Booth, G.、Tse, Y.(1996)。Common Volatility and Volatility Spillovers Between U. S. and Eurodollor Interest Rates: Evidence from the Futures Market。Journal of Econometrics and Business,48,299-312。 |
44. | 黃柏農(1995)。多國性股價報酬率的統計特性及星期效果研究-自相關條件異質性模型之應用。中國財務學刊,2(2),43-76。 延伸查詢 |
45. | Chan, K.、Chung, Y. P.(1995)。Vector Autoregression or Simultaneous Equations Model? The Intraday Relationship Between Index Arbitrage and Market Volatility。Journal of Banking & Finance,19(1),173-179。 |
46. | Cheung, Y. W.、Ng, L. K.(1990)。The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities。Review of Futures Markets,2,458-486。 |
47. | Cheung, Y. W.、Ng, L. K.(1996)。A Causality-in-variance Test and Its Implication to Financial Market Prices。Journal of Econometrics,72,33-48。 |
48. | Cornell, B.(1985)。The Weekly Pattern in Stock Returns: Cash verse Futures: A Note。The Journal of Finance,40,583-588。 |
49. | Dyl, E.、Merberly, E.(1986)。The Weekly Pattern in Stock Index Futures: A Further Note。The Journal of Finance,41,1149-1152。 |
50. | Levy, K.、Jacobs, B.(1988)。Calendar Anomalies: Abnormal Returns at Calendar Turning Points。Financial Analysts Journal,44,28-39。 |
51. | Jaffe, Jeffrey、Westerfield, Randolph(1985)。Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects。Journal of Financial and Quantitative Analysis,20,261-272。 |
52. | Junkus, J. C.(1986)。Weekend and Day of the Week Effects in Returns on Stock Index Futures。The Journal of Futures Markets,6,397-407。 |
53. | Pizzi, M. A.、Economopoulos, A. J.、O'Nell, H. M.(1998)。An Examination of the Relationship between Stock Index Cash and Futures Market: A Cointegration Approach。The Journal of Futures Markets,18(3),297-305。 |
54. | Rystrom, D.、Benson, E.(1989)。Investor Psychology and the Day-of - the Week Effect。Financial Analysts Journal,45,75-78。 |