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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](/gs32/images/newin.png) |
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](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
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](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Goss, B. A.(1981)。The Forward Pricing Function of the London metal Exchange。Applied Economics,13,133-150。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Hendry, D. A.(1986)。Econometric Modeling with Cointegrated Variables: an Overview。Oxford Bulletin of Economics and Statistics,48,201-212。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Kaminsky, G.、Kumar, M. S.(1990)。Efficiency in Commodity Futures Market。International Monetary Fund,37(3),670-699。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Leuthold, R. M.(1972)。Random Walks and Price Trends : The Live Cattle Futures Market。Journal of Finance,27,879-889。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Stevenson, R. A.、Bear, R. M.(1970)。Commodity Futures Trends or Random Walks。Journal of Finance,25(1),65-81。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Doldado, Juan J.、Jenkinson, Tim、Sosvilla-Rivero, Simon(1990)。Cointegration and Unit Roots。Journal of Economic Surveys,4,249-273。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
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](/gs32/images/newin.png) |
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](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Fama, E. F.(1970)。Efficiency Capital Market: A Review of Theory and Empirical Work。Journal of Finance,25,383-417。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
25. | Crowder, W. J.、Hamed, A.(1993)。Cointegration Test for Oil Future Market Efficiency。Journal of Futures Markets,13(8),933-941。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11(5),567-575。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Muscatelli, A.、Hurn, S.(1991)。Cointegration and Dynamic Time Series Models。Journal of Economic Surveys。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | Serletis, A.、Scowcroft, D.(1991)。Informational Efficiency of Commodity Futures Prices。Applied Financial Economics,1,185-192。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
37. | Cargill, T. F.、Rausser, G. C.(1975)。Temporal Price Behavior in Commodity Futures Markets。The Journal of Finance,30(4),1043-1053。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |