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題名:永久/暫時模型及資訊分享模型之價格發現研究--以期交稅調降後臺指期貨及摩臺指期貨為例
書刊名:輔仁管理評論
作者:賴藝文 引用關係簡進嘉
作者(外文):Laih, Yih-wennJane, Chin-chia
出版日期:2007
卷期:14:1
頁次:頁61-84
主題關鍵詞:永久/暫時模型資訊分享模型價格發現臺指期貨摩臺指期貨Price discoveryPermanent/transitory modelInformation share modelTAIFEXSGX-DT
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(2) 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:2
  • 共同引用共同引用:71
  • 點閱點閱:27
期刊論文
1.Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。  new window
2.Grammi, J.、Melvin, M.、Schlag, C.(2005)。Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects。Journal of Empirical Finance,12,139-164。  new window
3.Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。  new window
4.Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stocks: The Case of Hong Kong。Journal of International Money and Finance,21(2),265-293。  new window
5.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
6.Schreiber, P. S.、Schwartz, R. A.(1986)。Price Discovery in Securities Markets。Journal of Portfolio Management,12(4),43-48。  new window
7.Baillie, R. T.、Booth, G. G.、Tse, Y.、Zabotina, T.(2002)。Price Discovery and Common Factor Models。Journal of Financial Markets,5(3),309-321。  new window
8.Domowitz, Ian、Glen, Jack、Madhavan, A.(1998)。International Cross Listing and Order Flow Migration: Evidence from an Emerging Market。Journal of Finance,53,2001-2027。  new window
9.鍾惠民、王友珊、鄭婉秀、孫育伯(20030900)。交易成本與期貨價格發現功能探討--期交稅調降之分析。臺灣期貨市場,5(5,9-23。  延伸查詢new window
10.Bacidore, J. M.、Sofianos, G.(2002)。Liquidity Provision and Specialist Trading in NYSE Listed non-U. S. Stocks。Journal of Financial Economics,63,133-158。  new window
11.Ding, D. K.、Harris, F. H.、deB. Lau, S. T.、McInish,T. H.(1999)。An Investigation of Price Discovery in Informationally-linked Markets: Equity Trading in Malaysia and Singapore。Journal of Multinational Financial Management,9,317-329。  new window
12.Hupperets, E. C. J.、Menkveld, A. J.(2002)。Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York。Journal of Financial Markets,5,57-82。  new window
13.Jennings, R. H.、Barry, C. B.(1984)。On Information Dissemination and Regression Residuals。International Statistical Reviews,55,163-172。  new window
14.Tse, Y.、Booth, G. G.(1997)。Information Shares in International Oil Futures Markets。International Review of Economics and Finance,6,49-56。  new window
15.黃玉娟、黃珮鈴、梁心怡、黃詩雅(20040300)。臺灣股價指數現貨與期貨價格領先落後關係之探討--以TAIFEX與SGX-DT為例。輔仁管理評論,11(1),125-152。new window  延伸查詢new window
16.Osterwald-Lenum, M.(1992)。Practitioner's Corner - A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54,461-472。  new window
17.Cheung, Yin-Wong、Lai, Kon S.(1993)。Finite-Sample Size of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics,55(3),313-328。  new window
18.Harris, F. H.、McInish, deB, T. H.、Shoesmith, G. L.、Wood, R. A.(2002)。Security price adjustment across exchange: An investigation of common factor components Dow Stocks。Journal of Financial Markets,5,277-308。  new window
19.Stock, J. H.、Watson, M.(1988)。Variable trends in economic time series。Journal of Economic Perspectives,2,147-174。  new window
20.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
21.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance,50,1175-1199。  new window
22.Lee, T. H.、Tse, Y.(1996)。Cointegration Tests with Conditional Heteroskedasticity。Journal of Econometrics,73(2),401-410。  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.Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics,60(2),203-233。  new window
25.Jennings, R. H.、Starks, L. T.、Fellingham, J. C.(1981)。An Empirical Model of Asset Trading with Sequential Information Arrival。Journal of Finance,36,143-161。  new window
26.莊忠柱(20010600)。現貨、近月期與近季期股價指數期貨市場間價格與價格波動性的資訊傳遞:臺灣的早期經驗。管理學報,18(2),311-332。new window  延伸查詢new window
27.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
28.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
29.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
30.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
31.黃營杉、古永嘉、蔡垂君(20010900)。緩長記憶模式應用於期貨與現貨領先--落後關係之研究:以臺灣股價指數期貨及摩根臺灣股價指數期貨為例。輔仁管理評論,8(2),73-115。new window  延伸查詢new window
32.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
33.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
34.Tse, Y.、Erenburg, G.(2003)。Competition for order flow, market quality, and price discovery in the NASDAQ 100 index tracking stock。The Journal of Financial Research,26,301-318。  new window
35.Eun, C. S.、Sabherwal, S.(2003)。Cross-Border Listings and Price Discovery: Evidence from US Listed Canadian Stocks。Journal of Finance,58(2),549-574。  new window
36.Kadapakkam, P. P.、Misra, L.、Tse, Y.(2003)。International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs。Review of Quantitative Finance and Accounting,21,179-199。  new window
37.Martens, M.(1998)。Price Discovery in High and Low Volatility Periods: Open Outcry versus Electronic Trading。Journal of International Financial Markets,8,243-260。  new window
研究報告
1.Pascual, R.、Pascual-Fuster, B.、Climent, F.(2001)。Cross-listing, Price Discovery and the Informativeness of the Trading Process。Universidad de las Islas Baleares。  new window
學位論文
1.王友珊(1998)。台股指數期貨與現貨價格之動態關聯性(碩士論文)。國防管理學院。  延伸查詢new window
2.李俊杉(2003)。現貨、台指期貨與摩根台指期貨多變量GARCH-M模型價格發現過程探討(碩士論文)。逢甲大學。  延伸查詢new window
3.吳焜龍(1999)。台指期貨之價格發現--市場內與跨市場研究(碩士論文)。淡江大學。  延伸查詢new window
4.劉廷麟(2001)。台股指數期貨與摩根台股指數期貨價格發現能力之探討(碩士論文)。淡江大學,台北縣。  延伸查詢new window
5.蔡建安(2003)。台指期貨與摩台指期貨價格發現功能之研究(碩士論文)。長庚大學。  延伸查詢new window
6.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.Solnik, B.、McLeavey, D.(2004)。International investments。New York:Addison Wesley。  new window
2.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
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