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E.(1998)。Nonlinear dynamics and Covered Interest Rate Parity。Empirical Economics,23(4),535-559。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Board, J.、Sutcliffe, C.(1996)。The Dual Listing of Stock Index Future: Arbitrage, Spread Arbitrage, and Currency Risk。The Journal of Future Market,12(1),29-54。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Clinton, K.(1988)。Transaction Costs and Covered Interest Rate Parity。Journal of Political Economy,96,358-370。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Fung, H. G.、Isberg, S. C.(1992)。The International Transmission of Eurodollar and US Interest Rates: A Cointegration Approach。Journal of Banking and Finance,16,757-769。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Martin, L.、Garcia, P.(1981)。The Price-Forecasting Performance of Futures Modelling Exchange Rtes。American Journal of Agricultural Economics,63,209-232。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Shen C. H.(1998)。The Lead-Lag Relationship Between GDR and Taiwan Equity Market--A Cointegration Approach (in Chinese)。Security Development Journal,10(2),37-62。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Shyy, G.、Shen, C. H.(1997)。Intra-Day Investigation on Intermarket Futures Price Transmission Between Japan and Singapore。Review of Quantitative Finance and Accounting,9,147-163。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Shyy, G.、Lee, J. H.(1995)。Price Transmission and Information Asymmetry in Bund Future Markets: LIFFE vs. DTB。The Journal of Futures Markets,15(1),87-99。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Williams, J.(1987)。Futures Markets: A Consequences of Risk Aversion or Transaction Costs?。Journal of Political Economy,95,1000-1023。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Amihud, Y.、Mendelson, H.(1990)。Volatility, Efficiency and Trading: Evidence From the Japanese Stock Market。The Journal of Finance,46(5),1765-1789。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Anderson, H. M.(1997)。Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market。Oxford Bulletin Economics and Statistics,59(4),465-484。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Bahmain-Oskooee, M.、Das, S. P.(1985)。Transaction Costs and the Interest Parity Theorem。Journal of Political Economy,93,793-799。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Kato, K.、Linn, S.、Schallheim, J.(1991)。Are There Arbitrage Opportunities in the Market for American Depository Receipts。Journal of International Financial Markets,1,73-89。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Locke P. R.、Venkatesh, P. C.(1997)。Futures Market Transaction Costs。The Journal of Futures Markets: Futures, Options, and Other Derivative Products,17(2),229-245。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Pippenger, M. K.、Goering, G. E.(1993)。A Note on the Empirical Power of Unit Root Tests Under Threshold Process。Oxford Bulletin Economics and Statistics,55,473-481。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 18. | Wang, L. R.、Shen, C. H.(1999)。Do Foreign Investment Affect Foreign Exchange and Stock Markets? --The Case of Taiwan。Applied Economics,31(11),1303-1314。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 19. | 沈中華、陳建福(20031200)。B股開放政策對中國大陸股票市場效率性有影響嗎?不對稱門檻共整合模型的應用。財務金融學刊,11(3),89-119。 延伸查詢![new window](/gs32/images/newin.png) | 20. | Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 21. | Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 22. | 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) | 研究報告1. | Breedon, F.、Holland, A.(1997)。Electronic versus Open Outcry Market: The Case of the Bund Futures Contract。Bank of England。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Kunst, Rt M.(1992)。Threshold Cointegration in Interest Rates。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Dwyer, G. P.、Locke, P.、Yu, W.(1995)。Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash。Federal Reserve Bank of Atlanta。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Si, N. T.、Tseng, D. L.(1996)。An Analysis of Arbitrage Opportunities for Taiwan GDR。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 單篇論文1. | Marshall, D. A.(1993)。Asset Return Volatility with Extremely Small Costs of Consumption Adjustment,Kellogg Gradual School of Management, Northwestern University。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 其他1. | Hsu, S. N.,Wang, C. G.(1997)。Option Price and Transaction Cost,National ChengKung University。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Shen, C. H.(2000)。Are There Arbitrage Opportunities Global Depository Receipt and Local Equity Market When There Are Transaction Cost ? The Model of Threshold Cointegration (in Chinese),Chinese Financial Studies。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |