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題名：An Empirical Study on the Pricing of the Kuala Lumpur Stock Exchange Composite Index Futures
書刊名：Asia Pacific Management Review
作者：Hsu, Hsinan／Chau, Yee Kum
出版日期：2004
卷期：9:6
頁次：頁1025-1060
主題關鍵詞：Pricing of stock index futures；Cost of carry model；Imperfect market model；Model predictive power；KLSE CI
原始連結：連回原系統網址new window
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  • 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:21
Numerous studies have been carried out on the pricing of stock index futures based on the cost of carry model. However, the findings are controversial. In this paper, the pricing of the KLSE CI futures is examined under both the cost of carry model and the imperfect market model developed by Hsu and Wang [15]. The period under study is from January 2, 1996 to March 31, 2002. The overall results reveal that price expectation plays a significant role in pricing of the KLSE CI futures. In respect of the pricing of the KLSE CI futures, the cost of carry model has the lowest predictive power comparing to the imperfect market models discussed in this study.
期刊論文
1.Figlewski, Stephen(1989)。Options Arbitrage in Imperfect Markets。Journal of Finance，44(5)，1289-1311。  new window
2.王健聰、許溪南(1999)。SIMEX摩根臺股指數期貨之定價、套利與預測。成功大學學報：人文社會篇，34，109-142。  延伸查詢new window
3.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal，40，43-47。  new window
4.Modest, D. M.、Sundaresan, M.(1983)。The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence。Journal of Futures Markets，3(1)，15-41。  new window
5.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets，11(3)，291-311。  new window
6.Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。Journal of Financial and Quantitative Analysis，26，287-308。  new window
7.Chung, Y. P.(1991)。A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。The Journal of Finance，46(5)，267-284。  new window
8.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets，3(1)，1-14。  new window
9.Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。The Journal of Finance，38(3)，675-694。  new window
10.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica，53(2)，363-384。  new window
11.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。  new window
12.林文政、臧大年(19960700)。臺灣股指期貨定價與套利實務問題探討。證券市場發展，8(3)=31，1-31。new window  延伸查詢new window
13.Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets，10(4)，367-375。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
15.許溪南、王健聰(19981100)。The Pricing Model of Stock Index Futures in Imperfect Markets and Analysis of Price Expectation。成功大學學報，33(人文．社會篇)，355-381。  延伸查詢new window
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
17.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。  new window
18.Smith, T.、Whaley, R. E.(1994)。Estimating the Effective Bid/Ask Spread from Time and Sales Data。The Journal of Futures Markets，14(4)，437-455。  new window
19.Eytan, T.、Harpaz, G.(1986)。The Pricing of Futures and Options Contracts on the Value Line Index。The Journal of Finance，41(4)，843-857。  new window
20.Wang, G. H. K.、Michalski, R. J.、Jordan, J. V.、Moriarty, E. J.(1994)。An Intraday Analysis of Bid-ask Spreads and Price Volatility in the S&P 500 Index Futures Market。The Journal of Futures Markets，14(7)，837-859。  new window
學位論文
1.劉舜田(1999)。TAIMEX臺股指數期貨之定價、套利與預測，沒有紀錄。  延伸查詢new window
2.陳德斌(2000)。指數套利實證研究－以馬來西亞吉隆坡股市為例，沒有紀錄。  延伸查詢new window
圖書
1.Gujarati, Damodar(1999)。Essentials of Econometrics。McGraw-Hill。  new window
2.Stoll, Hans R.、Whaley, Robert E.(1993)。Futures and Options: Theory and Applications。Cincinnati, Ohio：South-Western Publishing Company。  new window
3.Thomas, R. L.(1997)。Modern Econometrics: An Introduction。Modern Econometrics: An Introduction。Harlow, UK。  new window
4.Daigler, R. T.(1993)。Managing Risk with Financial Futures: Pricing, Hedging and Arbitrage。Managing Risk with Financial Futures: Pricing, Hedging and Arbitrage。Massachusetts。  new window
5.Kolb, R. W.(1997)。Futures, Options, & Swaps。Futures, Options, & Swaps。London, UK。  new window
 
 
 
 
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