| 期刊論文1. | 余尚武(19970000)。股價指數期貨之價格發現與領先效果之研究--Nikkei 225指數之實證。證券市場發展,9(3)=35,29-62。 延伸查詢![new window](/gs32/images/newin.png) | 2. | 許玉環(19980200)。外資在東亞地區的角色。臺灣經濟研究月刊,21(2)=242,18-21。 延伸查詢![new window](/gs32/images/newin.png) | 3. | Wahab, M.、Lashgari, M.(1993)。Price Dynamics and Error Correction in Stock Index Futures markets: A Cointegration Approach。The Journal of Futures Markets,13(7),711-742。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Hamori, Shigeyuki、Hamori, Naoko、Anderson, David A.(2001)。An Empirical Analysis of the Efficiency of the Osaka Rice Market during Japan's Tokugawa Era。The Journal of Futures Markets,21(9),861-874。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Tse, Y. K.(1995)。Lead-Lag Relationship between Spot Index and Futures Prices of the Nikkei Stock Average。Journal of Forecasting,14,553-563。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 延伸查詢![new window](/gs32/images/newin.png) | 7. | Quan, J.(1992)。Two-Step Testing Procedure for Price Discovery Role of Futures Prices。Journal of Futures Markets,12(2),139-149。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Naka, A.、Whitney, G.(1995)。The Unbiased Forward Rate Hypothesis Re-examined。Journal of International Money and Finance,14(6),857-867。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Switzer, L. N.、Varson, P. L.、Zghidi, S.(2000)。Standard and Poor's Depository Receipts and the Performance of the S&P 500 Index Futures Market。Journal of Futures Markets,20(8),705-716。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | 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) | 14. | 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) | 15. | 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) | 16. | 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) | 17. | 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) | 18. | Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 學位論文1. | 劉勝興(1999)。臺灣股價指數期貨與股票現貨市場資訊傳遞之關聯性研究(碩士論文)。國立成功大學。 延伸查詢![new window](/gs32/images/newin.png) | 2. | 彭榮茂(1998)。台灣美元遠期外匯市場訊息效率性之研究(碩士論文)。輔仁大學。 延伸查詢![new window](/gs32/images/newin.png) | 3. | 廖崇豪(1994)。期貨與現貨價格之關連性分析與預測--以芝加哥玉米及股價指數期貨市場為例(碩士論文)。國立中興大學。 延伸查詢![new window](/gs32/images/newin.png) | 4. | 劉興嘉(1992)。臺灣遠期外匯市場效率性檢定--共整合分析之應用(碩士論文)。逢甲大學。 延伸查詢![new window](/gs32/images/newin.png) | 5. | 蘇仲徽(2000)。股價指數期貨之實證研究--以台灣期貨交易所為例(碩士論文)。國立中山大學。 延伸查詢![new window](/gs32/images/newin.png) | 圖書1. | Engle, R. F.、Granger, C. W. J.(1991)。Long Ron Economic Relationships Readings in Cointegration。Oxford University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Gujarati, Damodar(1999)。Essentials of Econometrics。McGraw-Hill。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Hull, J. C.(2000)。Options, Futures, & Other Derivatives。Upper Saddle River:Prentice Hall。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Maddala, G. S.(2001)。Introduction to Econometrics。John Wiley & Sons, Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Stoll, Hans R.、Whaley, Robert E.(1993)。Futures and Options: Theory and Applications。Cincinnati, Ohio:South-Western Publishing Company。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |