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題名:SGX 與 TAIFEX 臺股指數期貨的不偏性與隨機風險溢酬之研究
書刊名:輔仁管理評論
作者:古永嘉 引用關係張瓊嬌
作者(外文):Goo, Yeong-jiaChang, Chiung-chiao
出版日期:2002
卷期:9:2
頁次:頁147-175
主題關鍵詞:不偏性效率性同步偏誤隨機風險溢酬共整合UnbiasednessEfficiencySimultaneous biasTime-varying risk premiumCointegration
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:4
  • 點閱點閱:25
期刊論文
1.Luintel, K. B.、Paudyal, K.(1998)。Common stochastic trends between forward and spot exchange rates。Journal of International Money and Finance,17(2),279-297。  new window
2.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。  new window
3.Brenner, R. J.、Kroner, K. F.(1995)。Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets。Journal of Financial and Quantitative Analysis,30(1),23-42。  new window
4.Hakkio, Craig S.、Rush, Mark(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets。Journal of International Money and Finance,8(1),75-88。  new window
5.Stock, J. H.(1987)。Asymptotic Properties of Least Square Estimators of Cointegrating Vectors。Econometrica,55(5),1035-1056。  new window
6.Goss, B. A.(1981)。The Forward Pricing Function of the London metal Exchange。Applied Economics,13,133-150。  new window
7.沈中華、王儷容(19940700)。咖啡期貨市場效率性檢定。中國財務學刊,2(1),17-31。new window  延伸查詢new window
8.Antoniou, A.、Holmes, P.(1996)。Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Test: the Case of the FTSE-100 Futures Contract。Bulletin of Economic Research,48,115-128。  new window
9.Baillie, R. T.(1989)。Econometric Tests of Rationality and Market Efficiency。Econometric Reviews,8,151-186。  new window
10.Barnhart, S. W.、Szakmary, A. C.(1991)。Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Cointegration, and Stochastic Cointegration。Journal of Financial and Quantitative Analysis,26,245-267。  new window
11.Barnhart, S. W.、McNown, R.、Wallace, M. S.(1999)。Non-informative Tests of the Unbiased Forward Exchange Rate。Journal of Financial and Quantitative Analysis,34,265-291。  new window
12.Fama, E. F.(1984)。Forward and Spot Rates。Journal of Monetary Economics,14,319-338。  new window
13.Frankel, J. A.(1981)。Flexible Exchange Rates, Prices, and the Role of News: Evidence from the 1970。Journal of Political Economy,70,665-705。  new window
14.Frankel, F. A.(1979)。Further Evidence on Expectations and the Demand for Money during the German Hyperinflation。Journal of Monetary Economics,5,81-96。  new window
15.Gulen, S. G.(1998)。Efficiency in the Crude Oil Futures Market。Journal of Energy Finance & Development,3,13-21。  new window
16.Gweke, J.、Feige, E.(1978)。Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange。Review of Economic Statistics,61,334-341。  new window
17.Hakkio, C. S.(1981)。Expectations and Forward Exchange Rate。International Economic Review,22,663-678。  new window
18.李又剛、黃玉如(19940400)。股價指數現貨與股價指數期貨兩者關聯性之探討--以S&P500指數為例。企銀季刊,17(4),13-28。  延伸查詢new window
19.郭如秀(19980300)。共整合與市場效率:臺灣玉米現貨價格與美國玉米期貨價格之研究。臺灣土地金融季刊,35(1)=135,121-130。  延伸查詢new window
20.黃志典(19980300)。Estimating the Time-Varying Risk Premia in Taiwan's Foreign Exchange Market。管理學報,15(1),81-99。new window  new window
21.Aulton, A. J.、Ennew, C. T.、Rayner, A. J.(1997)。Efficiency Tests of Futures Markets for UK Agricultural Commodities。Journal of Agricultural Economics,48(3),425-441。  new window
22.Baillie, R. T.、Lippens, R. E.、Mcmahon, P. C.(1983)。Testing Rational Expectations and Efficiency in the Foreign Exchange Market。Econometrica,51,553-563。  new window
23.Beck, S. E.(1994)。Cointegration and Market Efficiency in Commodities Futures Markets。Applied Economics,26,249-257。  new window
24.Bilson, J. F. O.(1981)。The Speculative Efficiency Hypothesis。Journal of Business,54,435-451。  new window
25.Copeland, L. S.(1991)。Cointegration Tests with Daily Exchange Rate Data。Oxford Bulletin of Economics and Statistics,53,185-198。  new window
26.Fama, Eugene F.(19911200)。Efficient Capital Markets。Journal of Finance,46(5),1575-1617。  new window
27.Haigh, M. S.(2000)。Unbiased Expectations, and Forecasting in the BIFFEX Freight Futures Market。The Journal of Futures Markets,20,545-571。  new window
28.Hall, S. G.、Taylor, M. P.(1989)。Modelling Risk Premia in Commodity Forward Prices: Some Evidence from the London Metal Exchange。Review of Futures Markets,8,200-217。  new window
29.Hansen, L, P.、Hodrick, R. J.(1980)。Forward Exchange Rates as an Optimal Predictors of Futures Spot Rates: an Econometric Analysis。Journal of Political Economics,88,829-853。  new window
30.Kellard, N.、Newbold, P.、Rayner, T.、Ennew, C.(1999)。The Relative Efficiency of Commodity Futures Market。The Journal of Futures Markets,19,413-432。  new window
31.Krehbiel, T.、Adkins, L. C.(1993)。Cointegration Tests of the Unbiased Expectations Hypothesis in Metals Market。The Journal of Futures Market,13,753-763。  new window
32.Krehbiel, T.、Adkins, L. C.(1993)。Interest Rate Futures: Evidence on Forecast Power, Expected Premiums, and the Unbiased Expectations Hypothesis。The Journal of Futures Market,14,531-543。  new window
33.Liu, P. C.、Maddla, G. S.(1992)。Rationality of Survey Data and Tests for Market Efficiency in the Foreign Exchange Markets。Journal of International Money and Finance,11,366-381。  new window
34.Masih, A. M. M.、Masih, R.(1998)。A Fractional Cointegration Approach to Testing Mean Reversion between Spot and Forward Exchange Rates: a Case of High Frequency Data with Low Frequency Dynamics。Journal of Business Finance and Accounting,25,987-1003。  new window
35.Moosa, I. A.、Al-Loughani, N. E.(1994)。Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market。Energy Economics,16,99-105。  new window
36.Peroni, E.、McNown, R.(1998)。Noninformative and Informative Tests of Efficiency in Three Energy Futures Markets。Journal of Futures Markets,18,939-964。  new window
37.Serletis, A.(1991)。Rational Expectations, Risk and Efficiency in Energy Futures Markets。Energy Economics,13(2),111-116。  new window
38.Sargent, T. J.(1979)。A Note on Maximum Likelihood Estimation of the Rational Expectations Models of the Term Structure。Journal of Monetary Economics,5(1),137-143。  new window
39.Kavussanos, M. G.、Nomikos, N. K.(1999)。The Forward Pricing Function of the Shipping Freight Futures Market。Journal of Futures Markets,19,353-376。  new window
40.Shen, C. H.(1997)。Testing for Foreign Exchange Market Efficiency- a Trivariate Vector Autoregressive Approach。Applied Financial Economics,7,711-719。  new window
41.Tease, J.(1988)。Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float。Economic Record,64,2-13。  new window
42.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
43.Granger, C. W. J.(1986)。Developments in the Study of Cointegrated Economic Variables。Oxford Bulletin of Economics and Statistics,48(3),213-238。  new window
44.Hodrick, R. J.、Srivastava, S.(1984)。An Investigation of Risk and Return in Forward Foreign Exchange。Journal of International Money and Finance,3(1),5-29。  new window
45.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
46.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
47.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
48.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
49.Engle, Charles(1996)。The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence。Journal of Empirical Finance,3(2),123-192。  new window
學位論文
1.徐偉祐(2001)。台灣加權股價指數期貨市場效率性之研究(碩士論文)。長庚大學。  延伸查詢new window
2.林秋桂(1996)。臺灣外匯市場效率性檢定(碩士論文)。淡江大學。  延伸查詢new window
3.夏基陸(1999)。台股指數期貨的套利與不偏性(碩士論文)。中國文化大學。  延伸查詢new window
4.張堯鈞(1993)。我國遠期外匯市場重新開放後之效率性檢定(碩士論文)。國立中央大學。  延伸查詢new window
5.楊淑芬(2000)。亞洲各重要股價指數期貨市場之效率性分析--兼論東亞金融風暴的影響(碩士論文)。朝陽大學。  延伸查詢new window
圖書
1.Barnhart, S. W.、McNown, R.、Wallace, M. S.(1996)。Informative and Uninformative Tests of Foreign Exchange Market Efficiency。University of Colorado。  new window
2.Thomas, R. L.(1993)。Introductory Econometrics: Theory and Applications。London:Longman。  new window
3.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
圖書論文
1.Levich, R. M.(1978)。Further Results on the Efficiency of Markets for Foreign Exchange。Managed Exchange Rate Flexibility: the Recent Experience。Federal Reserve Bank of Boston。  new window
 
 
 
 
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