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題名:臺灣加權股價指數與新加坡摩根臺指現貨與期貨價格關聯性之研究
書刊名:管理研究學報
作者:詹錦宏 引用關係蔡建安
作者(外文):Chan, Chin-horngTsay, Gen-an
出版日期:2005
卷期:5:2
頁次:頁301-337
主題關鍵詞:共整合Granger因果關係誤差修正模型共同因子模型CointegrationGranger causalityError correction modelCommon factor model
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:70
  • 點閱點閱:35
期刊論文
1.Huang, Y. C.(2004)。The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT。The Journal of Futures Markets,24(9),835-860。  new window
2.Harris, F. H.、McInish, T. H.、Shoesmith, G. L.、Wood, R. A.(1995)。Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets。Journal of Financial and Quantitative Analysis,30,563-579。  new window
3.Garbade, K. D.、Silber, W. L.(1979)。Dominant and satellite markets: a study of dually traded securities。Review of Economics and Statistics,61,455-460。  new window
4.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
5.Tse, Yiu-Man(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets。Journal of Futures Markets,19(8),911-930。  new window
6.Pizzi, M. A.、Economopoulos, A. J.、O'Neill, H. M.(1998)。An examination of the relationship between stock index cash and futures markets: A cointegration approach。Journal of Futures Markets,18(3),297-305。  new window
7.Covrig, V.、Ding, D. K.、Low, B. S.(2004)。The Contribution of A Satellite Market to Price Discovery: Evidence form the Singapore Exchange。The Journal of Futures Markets,24(10),981-1004。  new window
8.Fleming, J.、Ostdiek, B.、Whaley, R. E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Future and Options Markets。The Journal of Futures Markets,16(4),353-387。  new window
9.Gonzalo, J.、Granger, C. W. J.(1995)。Estimation of Common Long-Memory Components in Cointegration Systems。Journal of Business & Economic Statistics,13(1),27-35。  new window
10.Granger, C. W. J.、Newbold, P.(1974)。Spurious Regression Econometric。Journal of Econometrics,2(1),111-120。  new window
11.Johansen, S.、Juselius, K.(1992)。Some Structural Hypothesis in a Multivariate Cointegration Analysis of Purchasing Power Parity and Uncovered Interest Parity for the U.K.。Journal of Economics,53,211-244。  new window
12.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading Costs and Price Discovery Across Stock Index Futures and Cash Markets。The Journal of Futures Markets,9(4),475-498。  new window
13.Reimers, H. E.(1992)。Comparions of Testing for Multivariate Cointegration。Statistical Papers,33,335-359。  new window
14.Roope, M.、Zurbruegg R.(2002)。The Intra-Day Price Discovery Process Between the Singapore Exchange and Taiwan Future Exchange。The Journal of Futures Markets,22,219-240。  new window
15.Schwert, G. W.(1989)。Testing for Unit Roots : A Monte Carlo Investigation。Journal of Business and Economics Statistics,7(2),147-159。  new window
16.Stoll, H. R.、Whaley, R. E.(1990)。The Dynamics of Stock Index and Stock Index Future Return。Journal of Financial & Quantitative Analysis,25,441-468。  new window
17.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
18.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
19.Hsieh, W.-L. G.(2004)。Regulatory Changes and Information Competition: The Case of Taiwan Index Futures。Journal of Futures Market,24(4),399-412。  new window
20.Quah, D.(1992)。The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds。Econometrica,60,107-118。  new window
21.Stock, J. H.、Watson, M. W.(1998)。Testing for Common Trends。Journal of the American Statistical Association,83,1097-1107。  new window
22.Tse, Y.(1999)。Round-the-Clock Market Efficiency and Home Bias: Evidence from the International Japanese Government Bonds Futures Markets。Journal of Banking and Finance,23,1831-1860。  new window
23.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
24.Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。  new window
25.Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics,60(2),203-233。  new window
26.黃玉娟、林明白(20030800)。買賣單不平衡、價差和報酬之探討:以臺指期貨在臺灣期貨交易所及新加坡交易所為例。財務金融學刊,11(2),71-98。new window  延伸查詢new window
27.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,10(3)=39,1-29。new window  延伸查詢new window
28.Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets,19(2),217-232。  new window
29.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
30.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics,39,199-211。  new window
31.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
32.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
33.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
34.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
35.李志宏、李進生、盧陽正(20000400)。新加坡摩根臺指期貨與本國臺指期貨合約稅制、保證金、漲跌設計及替代性之評估。證券市場發展季刊,12(1)=45,147-168。new window  延伸查詢new window
36.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
37.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。  new window
38.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
會議論文
1.Chan, C. H.(2003)。The Intraday Price Discovery Process Between the Future and the Cash Markets in Taiwan。The 27th Conference of Japanese Finance Association。Tokusima, Japan:Shikoku University。  new window
學位論文
1.賴瑞芬(1997)。台股指數期貨與現貨日內價格關係之研究(碩士論文)。國立台灣大學,台北市。  延伸查詢new window
2.劉聖駿(2001)。股價指數期貨和現貨關聯性之探討(碩士論文)。淡江大學。  延伸查詢new window
3.王凱蒂(2000)。臺股指數期貨價格發現(PriceDiscovery)之探討:日內與週型態(碩士論文)。國立政治大學。  延伸查詢new window
4.吳易欣(1998)。股價指數期貨與現貨之關聯性研究--新加坡摩根台股指數期貨實證分析(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.李進生、謝文良、吳壽山、蔣炤坪(1999)。台股指數期貨與操作實務。財團法人中華民國證券暨期貨市場發展基金會。  延伸查詢new window
2.Thomas, R. L.(1996)。Modem Econometrics。Addison-Wesley。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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