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題名:臺灣股價指數現貨、摩根臺股指數現貨與摩根臺股指數期貨之價格發現研究
書刊名:朝陽學報
作者:張阜民 引用關係李見發 引用關係陳郁菁邱國欽
作者(外文):Chang, Fu-minLi, Jian-faChen, Yu-chingChiou, Kuo-ching
出版日期:2009
卷期:14
頁次:頁407-436
主題關鍵詞:價格發現向量共整合檢定向量誤差修正模型衝擊反應函數誤差變異數分解Price discoveryCo-integrationVector error correction modelImpulse response functionVariance decomposition
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(1) 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:26
期刊論文
1.楊踐為(19990900)。臺灣認購權證與標的股間價格因果關係之探討。臺灣土地金融季刊,36(3)=141,51-68。  延伸查詢new window
2.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
3.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
4.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading costs and price discovery across stock index futures and cash markets。Journal of Futures Markets,19,475-498。  new window
5.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。  new window
6.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
7.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
8.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
9.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
10.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
11.Schreiber, P. S.、Schwartz, R. A.(1986)。Price Discovery in Securities Markets。The Journal of Portfolio Management,12,43-48。  new window
學位論文
1.王宥凱(2003)。臺股指數期貨與現貨價量關係之研究(碩士論文)。國立中興大學。  延伸查詢new window
2.洪惠娟(2004)。S&P 500指數、期貨與ETF價格發現之研究(碩士論文)。淡江大學,臺北縣。  延伸查詢new window
3.施雅菁(2002)。小型台指期貨價格發現之研究(碩士論文)。淡江大學。  延伸查詢new window
4.陳龍志(2005)。臺灣50指數、期貨與ETF價格發現功能之比較(碩士論文)。南華大學。  延伸查詢new window
5.張哲郎(2005)。台灣股價指數現貨、期貨與台灣50 ETF價格關聯性研究(碩士論文)。朝陽科技大學。  延伸查詢new window
6.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
7.劉廷麟(2001)。台股指數期貨與摩根台股指數期貨價格發現能力之探討(碩士論文)。淡江大學,台北縣。  延伸查詢new window
 
 
 
 
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