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題名:兩地掛牌期貨之套利與交易成本--以日本公債期貨為例
書刊名:臺灣期貨與衍生性商品學刊
作者:沈中華 引用關係
出版日期:2005
卷期:3
頁次:頁10-27
主題關鍵詞:兩地掛牌期貨日本公債期貨
原始連結:連回原系統網址new window
相關次數:
  • 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:12
  • 點閱點閱:16
期刊論文
1.Chan, K. C.、Fong, Wai-Ming、Kho, Bong-Chan、Stulz, René M.(1996)。Information, Trading and Stock Returns: Lessons from Dually Listed Securities。Journal of Banking and Finance,20,1161-1187。  new window
2.Shen, C. H.、Chiang, T. C. H.(1999)。Retrieving the Vanishing Liquidity Effect--A Threshold Vector Autoregressive Model。Journal of Economics and Business,51(3),259-277。  new window
3.Balke, N. S.、Wohar, M. E.(1998)。Nonlinear dynamics and Covered Interest Rate Parity。Empirical Economics,23(4),535-559。  new window
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。  new window
5.Clinton, K.(1988)。Transaction Costs and Covered Interest Rate Parity。Journal of Political Economy,96,358-370。  new window
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。  new window
7.Martin, L.、Garcia, P.(1981)。The Price-Forecasting Performance of Futures Modelling Exchange Rtes。American Journal of Agricultural Economics,63,209-232。  new window
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。  new window
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。  new window
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。  new window
11.Williams, J.(1987)。Futures Markets: A Consequences of Risk Aversion or Transaction Costs?。Journal of Political Economy,95,1000-1023。  new window
12.Amihud, Y.、Mendelson, H.(1990)。Volatility, Efficiency and Trading: Evidence From the Japanese Stock Market。The Journal of Finance,46(5),1765-1789。  new window
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。  new window
14.Bahmain-Oskooee, M.、Das, S. P.(1985)。Transaction Costs and the Interest Parity Theorem。Journal of Political Economy,93,793-799。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。new window  延伸查詢new window
20.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
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。  new window
22.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
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。  new window
2.Kunst, Rt M.(1992)。Threshold Cointegration in Interest Rates。  new window
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。  new window
圖書
1.Si, N. T.、Tseng, D. L.(1996)。An Analysis of Arbitrage Opportunities for Taiwan GDR。  new window
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。  new window
其他
1.Hsu, S. N.,Wang, C. G.(1997)。Option Price and Transaction Cost,National ChengKung University。  new window
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。  new window
 
 
 
 
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