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題名：股市基差訊息對現貨報酬之影響：厚尾模型的應用
書刊名：臺灣金融財務季刊
作者：黃健銘 引用關係／張惠雅
作者(外文)：Huang, Chien-ming／Chang, Hui-ya
出版日期：2009
卷期：10:1
頁次：頁81-106
主題關鍵詞：基差訊息；厚尾分配；不對稱效果；Basis information；Heavy-tailed distribution；Asymmetric effects
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:4
  • 點閱點閱:26
期刊論文
1.Garcia, Philip、Leuthold, Raymond M.、Zapata, Hector(1986)。Lead-Lag Relationships Between Trading Volume and Price Variability: New Evidence。Journal of Futures Markets，6(1)，1-10。  new window
2.邱建良、姜淑美、翁百郁(20060600)。期間利差、股票報酬與景氣循環關聯性之探討。華岡經濟論叢，5(2)，69-95。  延伸查詢new window
3.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
4.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance，52(5)，2003-2049。  new window
5.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies，3(2)，281-307。  new window
6.Lindahl, M.(1992)。Minimum Variance Hedge Ratios for Stock Index Futures: Duration and Expiration Effects。The Journal of Futures Markets，12(1)，33-53。  new window
7.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review，43(3)，314-343。  new window
8.Kocagil, A. E.、Shachmurove, Y.(1998)。Return-Volume Dynamics in Futures Markets。Journal of Futures Markets，18(4)，399-426。  new window
9.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business，49，496-508。  new window
10.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
11.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
12.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review，71(4)，545-565。  new window
13.張焯然(20010800)。臺股指數期貨動態避險效果之探討。臺灣管理學刊，1(1)，151-164。new window  延伸查詢new window
14.Antoniou, A.、Holmes, P.、Priestley, R.(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets，18，151-166。  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.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。  new window
17.Tong, Wilson H. S.(1996)。An Examination of Dynamic Hedging。Journal of International Money and Finance，15(1)，19-35。  new window
18.Martell, T. F.、Wolf, A. S.(1987)。Determinants of trading volume in futures markets。Journal of Futures Markets，7(3)，233-244。  new window
19.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
20.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。  new window
21.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
22.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
23.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
24.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
25.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
其他
1.王毓敏(2004)。指數期貨交易與股票市場波動性--短期與長期分析。new window  延伸查詢new window
2.余尚武與吳嘉欽(2000)。股價指數期貨對股票市場波動性的影響。  延伸查詢new window
3.李命志、吳佩珊與鄭婉秀(2004)。基差訊息運用對避險績效之影響。  延伸查詢new window
4.李瑞琳與薛立言(2004)。期貨交易成本對現貨波動之影響。  延伸查詢new window
5.李命志、邱建良與郭修旻(1998)。貨幣政策與股價報酬之探討。  延伸查詢new window
6.張宮熊與吳欽杉(1995)。我國股票市場、貨幣市場與外匯市場資訊傳遞結構之研究。  延伸查詢new window
7.黃仁德與楊忠誠(1999)。台灣公債殖利率決定因素的探討。  延伸查詢new window
8.詹司如、許溪南、林靖中與陳建義(2007)。現貨交易活動對期貨領先地位之影響。  延伸查詢new window
9.劉洪鈞、李彥賢與洪瑞成(2008)。厚尾分配之風險值估計：以股價指數為例。  延伸查詢new window
10.Aggarwal, R.(1988)。Stock Index Futures and Cash Market Volatility。  new window
11.Board, J. L. G. and C. M. S. Sutcliffe(1990)。Information, Volatility, Volume and Maturity: an Investigation of Stock Index Futures。  new window
12.Boyer, C. M. and M. E. Popiela(2004)。Index Futures and Stock Price Volatility。  new window
13.Calado, J. P. T., M. T. M. Garcia and S. E. T. M. Pereira(2005)。An Empirical Analysis of the Effects of Options and Futures Listing on the Underlying Stock Return Volatility: the Portuguese Case。  new window
14.Chu, S. H. and S. Freund(1996)。Volatility Estimation for Stock Index Options: A GARCH Approach。  new window
15.Darrat, A. F. and S. Rahman(1995)。Has Futures Trading Activity Caused Stock Price Volatility?。  new window
16.Dumas, B., J. Fleming, and R. Whaley(1998)。Implied Volatility Smiles: Empirical Tests。  new window
17.Fama, E. F. and K. R. French(1987)。Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage。  new window
18.Friedman, B. and K. Kuttner(1998)。Indicator Properties of the Paper-Bill Spread: Lessons from Recent Experience。  new window
19.Figlewski, S.(1984)。Explaining the Early Discount on Stock Index Futures: the Case for Disequilbrium。  new window
20.Holmes, P. and A. Antoniou(1996)。Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Tests: The Case of the FTSE-100 Futures Contract。  new window
21.Harvey, C. R.(1991)。Interest Rate Based Forecasts of German Economic Growth。  new window
22.Hung, J. C., M. C. Lee, and H. C. Liu(2008)。Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models。  new window
23.Illueca, M. and J. A. Lafuente(2003)。The Effect of Spot and Futures Trading on Stock Index Market Volatility: a Nonparametric Approach。  new window
24.Kapetanios, G., Y. Shin and A. Snell(2003)。Testing for a unit root in the nonlinear i. STAR framework。  new window
25.Lee, M. C., Su, J. B., and H. M. Su(2008)。Vaule-at-Risk in U.S. Stock Indices with Skewed Generalized Error Distribution。  new window
26.Mcmillan, D. G.(2002)。Interest Rate Spread and Real Activity: Evidence for the UK。  new window
27.Najand, M. and K. Yung(1991)。Examination of the Relationship Between Volume and Price Variability in Futures Markets。  new window
28.Politis, N. D.(2004)。A Heavy-tailed Distribution for ARCH Rsesiduals with Application to Volatility Prediction。  new window
29.Robbani, M. G. and R. Bhuyan(2005)。Introduction of Futures and Options on a Stock Index and Their Impact on the Trading Volume and Volatility: Empirical Evidence from the DJIA Components。  new window
30.Said, S. E. and D. A. Dickey(1984)。Testing for Unit Roots in Autoregressive Moving Average Model for Unknown Order。  new window
31.Shenbagaraman, P.(2003)。Do Futures and Options Trading Increase Stock Market Volatility。  new window
 
 
 
 
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