期刊論文| 1. | Brandt, M.、Kang, Q.(2004)。On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach。Journal of Financial Economics，72(2)，217-257。   |
| 2. | 蔡垂君、李存修(20040400)。近月臺股期貨在交易、非交易、以及跨越交易與非交易期間之訊息傳遞實證--價格發現與價格波動率內涵。財務金融學刊，12(1)，53-80。 延伸查詢 |
| 3. | Ryoo, Hyun-Jung、Smith, Graham(2004)。The Impact of Stock Index Futures on the Korean Stock Market。Applied Financial Economics，14，243-252。 |
| 4. | O'Connor, Matthew L.(1999)。The Cross-Sectional Relationship between Trading Costs and Lead/Lag Effects in Stock & Option Markets。Financial Review，34，95-117。 |
| 5. | Hansen, L. Peter(1985)。A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators。Journal of Econometrics，30，203-238。 |
| 6. | Bhattacharya, M.(1987)。Price Changes of related Securities: The Case of Call Options Markets。Review of Financial Studies，74，743-780。 |
| 7. | Stephan, J. A.、Whaley, R. E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance，45(1)，191-220。 |
| 8. | Manaster, S.、Rendleman, R. J.(1982)。Option Prices as Predictors of Equilibrium Stock Price。Journal of Finance，37，1043-1057。 |
| 9. | Kuo, Wen-Hsiu、Hsu, Hsinan、Chiang, Chwan-Yi(2004)。Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market。Review of Pacific Basin Financial Markets and Policies，7，509-524。 |
| 10. | Hentze, S.、Seiler, Michael J.(2000)。An Examination of the Lead/Lag Relationship between the Option Market and Stock Market: Where Do We Stand?。Quarterly Journal of Business and Economics，39，35-48。 |
| 11. | Gwilym, O. A.、Buckle, M.(2001)。The Lead-Lag Relationship between the FTSE 100 Stock Index and Its Derivative contracts。Applied Financial Economics，11，385-393。 |
| 12. | Chan, K.、Chung, Y. P.、Johnson, H.(1993)。Why Option Prices Lag Stock Prices: A Trading-Base Explanation。Journal of Finance，58，1957-1967。 |
| 13. | 余尚武、王俞瓔(19990500)。日經股價指數期貨與現貨市場之評價、關聯及避險。管理評論，18(2)，1-33。 延伸查詢 |
| 14. | Chatrath, A.、Christie-David, R.、Dhanda, Kanwalroop K.、Koch, Timonthy W.(2002)。Index Futures Leadership, Basis Behavior, and Trader Selectivity。Journal of Futures Market，22，649-678。 |
| 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。 延伸查詢 |
| 16. | Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets，16(4)，353-387。 |
| 17. | 李天行、陳能靜、蔡榮裕(20011200)。現貨盤後期貨交易資訊內涵之研究--以新加坡交易所日經225指數期貨為例。管理學報，18(4)，567-588。 延伸查詢 |
| 18. | 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 |
| 19. | Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets，16(2)，147-162。 |
| 20. | Shyy, Gang、Vijayraghavan, Vasumathi、Scott-Quinn, Brian(1996)。A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ Ask Quotes: the Case of France。Journal of Futures Markets，16(4)，405-420。 |
| 21. | Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance，42(5)，1309-1329。 |
| 22. | Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies，5(1)，123-152。 |
| 23. | 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。 延伸查詢 |
| 24. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis，25(4)，441-468。 |
| 25. | Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets，15(4)，457-488。 |
| 26. | 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。 |
| 27. | Chiang, Raymond、Fong, Wai-Ming(2001)。Relative informational efficiency of cash, futures, and options markets: the case of an emerging market。Journal of Banking and Finance，25(2)，355-375。 |