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 |
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 |
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。 |
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。 |
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。 |
6. | Ghosh, Asim(1995)。Cointegration and error correction models: Intertemporal causality between index and futures prices。Journal of Futures Markets,13(2),193-198。 |
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。 |
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。 延伸查詢 |
9. | Quan, J.(1992)。Two-Step Testing Procedure for Price Discovery Role of Futures Prices。Journal of Futures Markets,12(2),139-149。 |
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。 |
11. | Naka, A.、Whitney, G.(1995)。The Unbiased Forward Rate Hypothesis Re-examined。Journal of International Money and Finance,14(6),857-867。 |
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。 |
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。 |
14. | Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。 |
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。 |
16. | Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。 |
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。 |
18. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 |