:::

詳目顯示

回上一頁
題名:價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究
書刊名:財務金融學刊
作者:謝文良 引用關係
作者(外文):Hsieh, Wen-liang G.
出版日期:2002
卷期:10:3
頁次:頁1-31
主題關鍵詞:指數期貨臺股期貨價格發現共整合資訊傳遞誤差修正模型Taiwan index futuresPrice discoveryCointegrationInformation transmissionMarket integration
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(30) 博士論文(4) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:30
  • 共同引用共同引用:42
  • 點閱點閱:63
期刊論文
1.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1993)。Intraday market behavior and the extent of feedback between S&P 500 futures prices and the S&P 500 Index。Journal of Financial Research,16(2),107-121。  new window
2.Lau, S. T.、Mclnish, T. H.(1995)。Reducing tick size on the Stock Exchange of Singapore。Pacific-Basin Finance Journal,3(4),485-496。  new window
3.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading costs and price discovery across stock index futures and cash markets。Journal of Futures Markets,19,475-498。  new window
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。  new window
5.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。  new window
6.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。new window  延伸查詢new window
7.Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。  new window
8.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。  new window
9.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。  new window
10.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
11.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。  new window
12.Stephan, Jens A.、Whaley, Robert E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。  new window
13.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。  new window
14.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。  new window
15.Fisher, L.(1966)。Some New Stock Market Indexes。The Journal of Business,39,191-225。  new window
16.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
17.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11,567-575。  new window
18.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
19.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
20.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
21.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
22.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies,1(1),41-66。  new window
23.Wood, P. A.、Shoesmith, G. L.、Harris, F. H.、Mclnish, T. H.(1995)。Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets。Journal of Financial and Quantitative Analysis,30(4),563-578。  new window
24.Silber, W. L.、Garbade, K. D.(1979)。Dominant and Satellite Markets: A Study of Dually-Traded Securities。The Review of Economics and Statistics,61(3),455-460。  new window
25.Tse, Yiu-Man(1998)。International Linkages in Euromark Futures Markets: Information Transmission and Market Integration。The Journal of Futures Markets,18,129-149。  new window
26.Bessler, D. A.、Covey, T.(1991)。Cointergration: Some Results on U. S. Cattle Prices。The Journal of Futures Markets,11(4),461-474。  new window
27.Chowdhury, A. R.(1991)。Futures Market Efficiency: Evidence from Cointegration Tests。The Journal of Futures Markets,11,577-589。  new window
28.Chu, Quentin C.、謝文良、Tse, Yiu-Man(1999)。Price Discovery on the S&D 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
29.Thakor, A. V.、Boot, A. W. A.(1993)。Security design。The Journal of Finance,48,1349-1378。  new window
30.Brockman, P.、Tse, Yiu-Man(1995)。Information Shares in Canadian Agricultural cash and Futures Markets。Applied Economics Letters,2,335-338。  new window
31.Tse, Yiu-Man、Lee, Tae-Hwy、Booth, G. G.(1996)。The International Transmission of Information in Eurodollar Futures Markets: A Continuously Trading Market Hypothesis。Journal of International Money and Finance,15,447-465。  new window
32.Werner, I. M.、Kleidon, A. W.(1996)。U. K. and U. S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration。Review of Financial Studies,9,619-664。  new window
圖書
1.Markowitz, Harry M.(1959)。Portfolio Selection: Efficient Diversification of Investment。New York:Wiley。  new window
2.Cohan, K. J.、Maier, S. A.、Schwartz, R. A.、Whitcomb, D. K.(1986)。The Microstructure of Security Markets。The Microstructure of Security Markets。Englewood Cliffs, NJ。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE