期刊論文| 1. | Merton, R. C.(1980)。On Estimating the Expected Return on the Market: An Exploratory Investigation。Journal of Financial Economics，8(4)，323-361。   |
| 2. | Pericli, A.、Koutmos, G.(1997)。Index futures and options and stock market volatility。The Journal of Futures Markets，17(8)，957-974。 |
| 3. | Crain, S. J.、Lee, J. H.(1995)。Intraday volatility in interest rate and foreign exchange spot and futures markets。Journal of Futures Markets，15(4)，395-421。 |
| 4. | 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。 |
| 5. | Antoniou, Antonios、Holmes, Phil(1995)。Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking & Finance，19(1)，117-129。 |
| 6. | Najand, M.、Yung, K.(1991)。A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets。Journal of Futures Markets，11(5)，465-478。 |
| 7. | Board, J. L. G.、Sutcliffe, C. M. S.(1990)。Information, volatility, volume and maturity: an investigation of stock index futures。Review of Futures Markets，19(3)，533-549。 |
| 8. | Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica，41(1)，135-155。 |
| 9. | Hung, Mao‐Wei、Zhang, Hua(1995)。Price Movements and Price Discovery in The Municipal Bond Index and The Index Futures Markets。Journal of Futures Markets，15(4)，489-506。 |
| 10. | Koutmos, G.、Tucker, M.(1996)。Temporal Relationships and Dynamic Interactions between Spot and Futures Stock Markets。Journal of Futures Markets，16(1)，55-69。 |
| 11. | 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。 |
| 12. | Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets，8(4)，421-439。 |
| 13. | 王毓敏、陳正佑(20010500)。臺股認購權證與標的股票交易量及資訊不對稱對於波動性之影響。風險管理學報，3(1)，49-69。 延伸查詢 |
| 14. | 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。 |
| 15. | Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance，47(5)，2015-2034。 |
| 16. | 黃玉娟(19990100)。報酬與波動性動態關聯之研究--摩根臺股指數與指數期貨之探討。Proceedings of the National Science Council. Part C, Humanities and Social Sciences，9(1)，153-162。 延伸查詢 |
| 17. | Aggarwal, R.(1988)。Stock Index Futures And Cash Market Volatility。Review of Futures Markets，7，290-299。 |
| 18. | Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance，43(4)，949-964。 |
| 19. | Antoniou, Antonios、Holmes, Phil、Priestley, Richard(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets，18(2)，151-166。 |
| 20. | Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets，9，442-457。 |
| 21. | Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets，12(5)，493-509。 |
| 22. | Lee, J. H.、Linn, S. C.(1994)。Intraday And Overnight Volatility Of Stock Index And Stock Index Futures Returns。Review of Futures Markets，13，1-30。 |
| 23. | 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。 |
| 24. | Park, Tae H.、Switzer, Lorne N.、Bedrossian, Robert(1999)。The interactions between trading volume and volatility: Evidence from the equity options markets。Applied Financial Economics，9(6)，627-637。 |
| 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. | 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。 |
| 27. | 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。 |
| 28. | Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance，31，1149-1168。 |
| 29. | Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。 |
| 30. | 方文碩(20000500)。金融危機期間股票報酬風險貼水與貶值效果。風險管理學報，2(1)，39-68。 延伸查詢 |
| 31. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 32. | 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。 |
| 33. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。 |