:::

詳目顯示

回上一頁
題名:臺股電子期貨與現貨報酬因果關係之研究
書刊名:僑光學報
作者:李永全
出版日期:2002
卷期:20
頁次:頁63-79
主題關鍵詞:因果關係共整合單根檢定
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(0) 博士論文(0) 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:53
  • 點閱點閱:23
期刊論文
1.葉銀華(19911100)。臺灣股票市場成交量與股價關係之實證研究--轉換函數模式。臺北市銀月刊,22(11)=266,57-70。  延伸查詢new window
2.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。The Journal of Futures Markets,16(4),353-387。  new window
3.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
4.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。  new window
5.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。  new window
6.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。  new window
7.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。  new window
8.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
9.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
10.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
11.余尚武、陳逸謙(19990700)。股價指數期貨--交易量、價格波動與到期期間關係之探討。證券櫃檯,37,1-8。  延伸查詢new window
12.Black, Fischer(1976)。The Price of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
13.Cheung, Yin-Wong、Ng, Lilian K.(1990)。The Dynamics of S&P 500 Index and S&P 500 Future Intraday Price Volatilities。Review of Futures Markets,9(2),458-486。  new window
14.Ghosh, Asim(1993)。Cointefration and Error Correction Models: Intertemporal Causality between Index and Futures Prices。Journal of Futures Markets,13(2),93-198。  new window
15.Herbst, Anthony F.、McCormack, Joseph P.、West, Elizabeth N.(1989)。Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Future Contracts。Journal of Futures Markets,7(4),373-382。  new window
16.Kawaller, Ira G.、Koch, Paul D.、Koch, Timothy W.(1987)。The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index。The Journal of Finance,42(5),1309-1329。  new window
17.黃柏農(19950100)。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。new window  延伸查詢new window
18.黃玉娟、徐守德(20001200)。臺股指數現貨與期貨日內交易形態之比較。交大管理學報,20(2),149-171。new window  延伸查詢new window
19.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。  new window
20.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。  new window
21.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。  new window
22.Lakonishok, Josef、Levi, Maurice(1982)。Weekend Effects on Stock Returns: A Note。Journal of Finance,37(3),883-889。  new window
23.Pizzi, Michael A.、Economopoulos, Andrew J.、O'Neill, Heather M.(1998)。An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach。Journal of Futures Markets,18(3),297-305。  new window
24.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
25.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
26.Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets,15(4),457-488。  new window
27.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
28.許溪南、王健聰(19981100)。The Pricing Model of Stock Index Futures in Imperfect Markets and Analysis of Price Expectation。成功大學學報,33(人文.社會篇),355-381。  延伸查詢new window
29.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。  new window
會議論文
1.胡為善、陳業琇(1996)。股價指數期貨交易對股票價格波動的影響。第五屆證券暨金融市場理論與實務研討會。  延伸查詢new window
圖書
1.Grossman, Sanford J.(1989)。The Informational Role of Prices。Cambridge, Mass:The MIT Press。  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
 
無相關點閱
 
QR Code
QRCODE