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題名：價差與投資策略--以臺灣股票期貨與現貨市場為例
書刊名：輔仁管理評論
作者：黃俊凱 引用關係／陳能靜 引用關係／蔡麗茹 引用關係／陳秀淋 引用關係
作者(外文)：Huang, Jiun-kai／Chen, Nen-jing／Tsai, Li-ju／Chen, Show-lin
出版日期：2009
卷期：16:2
頁次：頁1-24
主題關鍵詞：價差；均數復歸；非線性模型；門檻共整合模型；Spread；Mean reversion；Nonlinear model；Threshold cointegration model
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:23
期刊論文
1.張瓊嬌、古永嘉(20030100)。臺灣股價指數期貨與現貨市場資訊傳遞及價格波動性之研究--雙元 EGARCH-X 模式與介入模式之應用。管理評論，22(1)，53-74。new window  延伸查詢new window
2.Monoyios, M.、Sarno, L.(2002)。Mean reversion in stock index futures markets: A nonlinear analysis。Journal of Futures Markets，22(4)，285-314。  new window
3.Cox, C. C.(1976)。Futures Trading and Market Information。Journal of Political Economy，84，1215-1237。  new window
4.Hansen, B. E.(2000)。Testing for Structural Change in Conditional Models。Journal of Econometrics，97，93-115。  new window
5.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal，40，43-47。  new window
6.許溪南、王健聰(2004)。Price Expectation and the Pricing of Stock Index Futures。Review of Quantitative Finance and Accounting，23(2)，167-184。  new window
7.Hansen, Bruce E.、Seo, Byeongseon(2002)。Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models。Journal of Econometrics，110(2)，293-318。  new window
8.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
9.Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics，93(2)，345-368。  new window
10.Hsieh, David A.(1991)。Chaos and Nonlinear Dynamics: Application to Financial Markets。The Journal of Finance，46(5)，1839-1877。  new window
11.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
12.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets，3(1)，1-14。  new window
13.Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。The Journal of Finance，38(3)，675-694。  new window
14.Mackinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behavior of stock index futures prices: some preliminary evidence。The Journal of Futures Markets，1(2)，137-158。  new window
15.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets，13(7)，711-742。  new window
16.Wermers, R.(1999)。Mutual Fund Herding and Impact on Stock Price。Journal of Finance，54(2)，581-622。  new window
17.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review，38(3)，627-645。  new window
18.Hansen, B. E.(2000)。Sample splitting and threshold estimation。Econometrica，68(3)，575-604。  new window
19.Statman, Meir(1999)。Behavioral Finance: Past Battles and Future Engagements。Financial Analysts Journal，55(6)，18-27。  new window
20.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
21.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
22.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance，39(3)，657-669。  new window
其他
1.王健聰、許溪南(200207)。市場不完美度與股價指數期貨定價關係的一些理論假說與實證。  延伸查詢new window
2.吳承康(2000)。台灣股價指數期貨基差與價格預測實證研究。  延伸查詢new window
3.林昭賢、許溪南(2004)。期貨交易者之交易行為及績效之研究。  延伸查詢new window
4.許溪南、徐守德、郭玟秀、鄭麗慧(2007)。外資介入對台股指數與期貨指數正逆價差之影響。  延伸查詢new window
5.Anderson, H. ＆ F. Vahid(2001)。Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices。  new window
6.Bhatt, Swati ＆ Nusret Cakici(1990)。Premiums on Stock Index Futures-Some Evidence。  new window
7.Dwyer, G. P., Locke, P. ＆ Yu, W.(1996)。Index Arbitrage and Nonlinear Dynamics between the S & P 500 Futures and Cash。  new window
8.Fama, E. F. ＆ French, K. R.(1987)。Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage。  new window
9.McMillan, David G. ＆ Speight, Alan E. H.(2006)。Nonlinear Dynamics and Competing Behavioral Interpretations: Evidence from Intra-day FTSE-100 Index and Futures Data。  new window
10.Miller, M. H., Muthuswamy, J., Whalry, R. E.(1994)。Mean Reversion of Standard & Poor’s Index Basis Changes: Arbitraged-induced or Statistical Illusion?。  new window
11.Pizzi, Michael A., Economopoulos, Andrew J., O'Neill, Heather M.(1998)。An Examination of the Relationship between Stock Index Cash and Futures Markets: a Cointegration Approach。  new window
12.Wang, C.(2003)。The Behavior and Performance of Major Types of Futures Traders。  new window
 
 
 
 
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