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題名:臺股日內指數期貨與現貨市場價格發現與套利行為--多變量門檻自我迴歸模型之應用
書刊名:證券市場發展季刊
作者:柏婉貞黃柏農 引用關係
作者(外文):Po, Wan-chenHuang, Bwo-nung
出版日期:2009
卷期:21:2=82
頁次:頁35-67
主題關鍵詞:臺股日內指數期貨價格發現套利多變量門檻自我迴歸Intraday stock index futuresPrice discoveryArbitrageMVTAR
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(3) 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:3
  • 共同引用共同引用:48
  • 點閱點閱:178
期刊論文
1.Weise, Charles L.(1999)。The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach。Journal of Money, Credit and Banking,31(1),85-108。  new window
2.Tse, Y.(2001)。“Index Arbitrage with Heterogeneous Investors: A Smooth Transition Error Correction Analysis,”。Journal of Banking and Finance,25,1829-1855。  new window
3.Martens, M.、Paul, K.、Tom, C. F. V.(1988)。A threshold error correction model for intraday futures and index returns。Journal of Applied Econometrics,13,245-263。  new window
4.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。  new window
5.Dwyer, G. P. Jr.、Locke, P.、Yu, W.(1996)。Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash。Review of Financial Studies,9(1),301-332。  new window
6.王高文、毛維凌(20040300)。單一方程式共整合-GARCH模型:臺灣股市之實證研究。經濟論文叢刊,32(1),1-24。new window  延伸查詢new window
7.Yadav, Pradeep K.、Pope, Peter F.(1990)。Stock Index Futures Arbitrage: International Evidence。The Journal of Futures Markets,10(6),573-603。  new window
8.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
9.Brooks, C.、Garrett, I.(2002)。Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Index Futures Markets?。Applied Financial Economics,12(1),25-31。  new window
10.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association,93(443),1188-1202。  new window
11.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
12.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
13.Jones, C. M.、Kaul, G.、Lipson, M. L.(1994)。Transactions, Volume, and Volatility。Review of Financial Studies,7(4),631-651。  new window
14.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
15.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
16.黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。new window  延伸查詢new window
17.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
18.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
19.Board, J. and C. Sutcliffe(1996)。“The dual Listing of stock index futures: Arbitrage, spread arbitrage, and currency risk,”。Journal of Futures Markets,vol. 16,29-54。  new window
20.Foster, A. J.,(1995)。“Volume-volatility relationships for crude oil futures,”。Journal of Futures Markets,vol. 15,929-951。  new window
21.Holden, C. W.(1995)。“Index arbitrage as cross-sectional market making,”。Journal of Futures Markets,vol. 15,423-455。  new window
22.Huang, Y. C., C. J. Kuo and D. Shyu(1998)。“The market efficient and arbitrage opportunities of Taiwan stock index futures traded at SIMEX,”。Review of Securities and Futures Markets,vol. 10,1-29。  new window
23.Kim, M., A. C. Szakmary and T. V. Schwarz(1999)。“Trading cost and price discovery across stock index futures and cash markets,”。Journal of Futures Markets,vol. 19,475-498。  new window
24.Lin, C.C., S.Y. Chen and D.Y. Hwang(2003)。“An application of threshold cointergration to Taiwan stock index futures and spot markets,”。Review of Pacific Basin Financial Markets and Policies,vol. 6,291-304。  new window
25.Mackinlay, A. C. and K. Ramaswamy(1988)。“Index-Futures Arbitrage and the Behavior of Stock Index Prices,”。Review of Financial Studies,vol. 1,137-158。  new window
26.Najand, M. and K. Yung(1991)。“A GARCH examination of the relationship between volume and price variability in futures markets,”。Journal of Futures Markets,vol. 11,347-370。  new window
27.Ravajecz, K. A. and E. R. Odders - White(2001)。“An examination of changes in specialists’ posted price schedules,”。Review of Financial Studies,vol. 9,1-36。  new window
28.Yadav, P. K., P. F. Pope and K. Paudyal(1994)。“Threshold autoregressive modeling in finance: The price differences of equivalent assets,”。Mathematical Finance,vol. 4,205-221。  new window
圖書論文
1.Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。  new window
 
 
 
 
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