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題名:專業外資(QFII)買賣超與我國股市、期貨市場的關聯性研究
書刊名:正修學報
作者:薛舜仁 引用關係
作者(外文):Hsueh, Shun-jen
出版日期:2004
卷期:17
頁次:頁189-208
主題關鍵詞:專業外資領先落後關聯性二階段共整合檢定QFIIGranger causality testQualified foreign institutional investorThe two-stage cointegration method
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:45
  • 點閱點閱:21
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。new window  延伸查詢new window
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。new window  延伸查詢new window
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。  new window
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。  new window
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。  new window
6.Ghosh, Asim(1995)。Cointegration and error correction models: Intertemporal causality between index and futures prices。Journal of Futures Markets,13(2),193-198。  new window
7.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the estimates for autoregressive time series with a unit root。Journal of the American Statistical Association,74(366),427-431。  new window
8.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
9.Quan, J.(1992)。Two-Step Testing Procedure for Price Discovery Role of Futures Prices。Journal of Futures Markets,12(2),139-149。  new window
10.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
11.Naka, A.、Whitney, G.(1995)。The Unbiased Forward Rate Hypothesis Re-examined。Journal of International Money and Finance,14(6),857-867。  new window
12.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。  new window
13.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。  new window
14.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。  new window
15.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
16.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
17.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
18.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
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
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
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
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
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
圖書
1.Engle, R. F.、Granger, C. W. J.(1991)。Long Ron Economic Relationships Readings in Cointegration。Oxford University Press。  new window
2.Gujarati, Damodar(1999)。Essentials of Econometrics。McGraw-Hill。  new window
3.Maddala, G. S.(2001)。Introduction to Econometrics。John Wiley & Sons, Inc.。  new window
 
 
 
 
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