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題名:金融商品價格關聯性之研究
書刊名:朝陽學報
作者:許光華 引用關係張哲郎李見發 引用關係嚴宗銘 引用關係
作者(外文):Hsu, Kuang-HuaChang, Che-LangLi, Jiang-FaYan, Tzung-Ming
出版日期:2007
卷期:12
頁次:頁123-143
主題關鍵詞:價格發現向量誤差修正模型預測誤差變異數分析臺灣 50 ETFPrice discoveryVECMForecast error variance decompositionTaiwan 50 exchange traded fund
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:27
期刊論文
1.Wahab, M.、Leshgari, M.(1993)。Price Dynamics of Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13,711-742。  new window
2.Stoll, H. R.、Whaley, R. E.(1990)。The Dynamic of Stock Index and Stock Futures Return。Journal of Financial and Quantitative Analysis,25,441-468。  new window
3.Fleming, J.、Ostdiek, B.、Whaley, R. E.(1996)。Trading Casts and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16,353-387。  new window
4.Chung, P. Y.(1991)。A Transaction Data OF Stock Index Futures Market Efficiency and Index Arbitrage Profitability。Journal of Finance,46,791-1809。  new window
5.Tse, Y.(1998)。International Linkages in Euromark Futures Markets: Information Transmission and Market Integration。Journal of Futures Markets,18,128-149。  new window
6.Roope, M.、Zurbruegg, R.(2002)。The Intra-day Price Discovery Process between the Singapore Exchange and Taiwan Futures Exchange。The Journal of Futures Markets,22(3),219-240。  new window
7.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading costs and price discovery across stock index futures and cash market。Journal of Futures Markets,19(4),475-498。  new window
8.Gwilym, O. A.、Bruckle, M.(2001)。The Lead-Lag Relationship Between the FTSE100 Stock Index and its Derivative Contracts。Applied Financial Economics,11,385-393。  new window
9.Frino, A.、Walter, T.、West, A.(2000)。The Lead-lag Relationship between Equities and Stock Index Futures Markets around Information Releases。Journal of Futures Markets,20(5),467-487。  new window
10.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
11.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets,15(4),457-488。  new window
12.Ghosh, Asim(1995)。Cointegration and error correction models: Intertemporal causality between index and futures prices。Journal of Futures Markets,13(2),193-198。  new window
13.Granger, C. W. J.(1980)。Testing for Causality: A Personal Viewpoint。Journal of Economic Dynamics and Control,2,329-352。  new window
14.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。  new window
15.Quan, J.(1992)。Two-Step Testing Procedure for Price Discovery Role of Futures Prices。Journal of Futures Markets,12(2),139-149。  new window
16.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。  new window
17.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。  new window
18.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。  new window
19.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
20.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
21.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
學位論文
1.賴宏昌(1998)。台股指數期貨與現貨間的關聯性之研究(碩士論文)。國立中興大學。  延伸查詢new window
2.唐婉崴(2003)。指數現貨、指數期貨與指數股票式基金間價格發現能力之探討--以NASDAQ 100指數商品為例(碩士論文)。淡江大學。  延伸查詢new window
3.陳怡伶(2004)。台灣50 ETF與台灣加權股價指數現貨與台指期貨間的價格關聯性研究(碩士論文)。國立成功大學。  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.Granger, C. W. J.、Newbold, P.(1986)。Forecasting Economic Time Series。New York:Academic Press。  new window
 
 
 
 
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