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題名:亞洲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
書刊名:朝陽商管評論
作者:戴錦周 引用關係楊淑芬陳建宏 引用關係
作者(外文):Dai, Jin-jouYang, Shu-fenChen, Chien-hung
出版日期:2003
卷期:2:2
頁次:頁51-74
主題關鍵詞:日經225指數期貨香港恆生指數期貨韓國綜合200指數期貨摩根臺指期貨臺灣發行量加權股價指數期貨單根共積市場效率性金融風暴
原始連結:連回原系統網址new window
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  • 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:23
  • 點閱點閱:17
期刊論文
1.Stock, J. H.、Watson, M.(1988)。Variable trends in economic time series。Journal of Economic Perspectives,2,147-174。  new window
2.李又剛、蘇逸平(19990100)。股價指數現貨與期貨關聯性之探討:以SIMEX臺指與S&P500指數為例。企銀季刊,22(3),51-71。  延伸查詢new window
3.姒元忠(1999)。我國期貨市場發展與外資之相關性。台研金融與投資月刊,22,9-14。  延伸查詢new window
4.莊忠柱(20000900)。臺股指數期貨上市與現貨價格非對稱波動性的結構性改變--臺灣的早期經驗。臺灣金融財務季刊,1(1),21-39。new window  延伸查詢new window
5.楊踐為、王章誠(1999)。台指現貨、期貨與SIMEX台指期貨之資訊傳遞結構研究。證券櫃檯,36,1-14。  延伸查詢new window
6.Canarella, G.、Pollard, S. K.(1986)。Efficiency in Foreign Exchange Markets: A Vector Autoregression Approach。Journal of International Money and Finance,1(7),33-346。  new window
7.Fortenbery, T, R.、Zapata, H. O.(1993)。An Examination of Cointegration Relations between Futures and Local Grain Markets。Journal of Futures Markets,13(8),921-932。  new window
8.Goss, B. A.(1981)。The Forward Pricing Function of the London metal Exchange。Applied Economics,13,133-150。  new window
9.Hakkio, C. S.、Rush, M.(1989)。Markets Efficiency and Cointegration : An application to the sterling and Deutsche mark Exchange Markets。Journal of International Money and Finance,8,75-88。  new window
10.Hendry, D. A.(1986)。Econometric Modeling with Cointegrated Variables: an Overview。Oxford Bulletin of Economics and Statistics,48,201-212。  new window
11.Kaminsky, G.、Kumar, M. S.(1990)。Efficiency in Commodity Futures Market。International Monetary Fund,37(3),670-699。  new window
12.Leuthold, R. M.(1972)。Random Walks and Price Trends : The Live Cattle Futures Market。Journal of Finance,27,879-889。  new window
13.MacDonald, R.、Taylor, M. P.(1988)。Testing Rational Expectations and Efficiency in the London Mental Exchange。Oxford Bulletin of Economics and Statistics,50(1),41-52。  new window
14.Stevenson, R. A.、Bear, R. M.(1970)。Commodity Futures Trends or Random Walks。Journal of Finance,25(1),65-81。  new window
15.Wahab, M.、Lashgari, M.(1993)。Price Dynamic and Error Correction in Stock Index and Stock Index Futures Markets : A Cointegration Approach。Journal of Futures Markets,13(6),239-252。  new window
16.Doldado, Juan J.、Jenkinson, Tim、Sosvilla-Rivero, Simon(1990)。Cointegration and Unit Roots。Journal of Economic Surveys,4,249-273。  new window
17.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
18.黃玉娟、徐守德(19990900)。股價指數期貨定價之研究--新加坡摩根臺指期貨之實證。亞太管理評論,4(3),255-269。new window  延伸查詢new window
19.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
20.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
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.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
23.Fama, E. F.(1970)。Efficiency Capital Market: A Review of Theory and Empirical Work。Journal of Finance,25,383-417。  new window
24.黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。new window  延伸查詢new window
25.Crowder, W. J.、Hamed, A.(1993)。Cointegration Test for Oil Future Market Efficiency。Journal of Futures Markets,13(8),933-941。  new window
26.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11(5),567-575。  new window
27.Muscatelli, A.、Hurn, S.(1991)。Cointegration and Dynamic Time Series Models。Journal of Economic Surveys。  new window
28.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。  new window
29.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
30.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
31.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
32.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
33.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
34.Wang, G. H. K.、Yau, J.(1994)。A Time Series Approach to Testing for Market Linkage: Unit Root and Cointegration Tests。The Journal of Futures Markets,14(4),457-474。  new window
35.Serletis, A.、Scowcroft, D.(1991)。Informational Efficiency of Commodity Futures Prices。Applied Financial Economics,1,185-192。  new window
36.Thornton, D. L.、Jansen, D. W.、Dickey, D. A.(1991)。A Primer on Cointegration with an Application to Money and Income。Federal Reserve Bank of St. Louis Review,73(2),58-79。  new window
37.Cargill, T. F.、Rausser, G. C.(1975)。Temporal Price Behavior in Commodity Futures Markets。The Journal of Finance,30(4),1043-1053。  new window
研究報告
1.Lütkepohl, H.(1982)。Comparison of Criteria for Estimating the Order of a Vector Autoregressive Process。Fachbereich Wirtschaflswissenschaften, University Osnabruck。  new window
學位論文
1.吳阿秋(1995)。日經股價指數期貨市場效率性及套利機會之分析(碩士論文)。輔仁大學。  延伸查詢new window
圖書
1.Engle, R. F.、Granger, C.(1991)。Long-Run Economic Relationship : Readings in Cointegration。Oxford University Press。  new window
2.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY:John Wiley and Sons。  new window
3.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
 
 
 
 
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