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題名:ETF折價率與報酬率關係之研究--以EWU、EWQ、EWG與EWJ為例
書刊名:全球商管研究
作者:林少斌李文雄鄭喬明
作者(外文):Lin, Shao-binLee, Wen-shiungCheng, Chiao-ming
出版日期:2009
卷期:4:1
頁次:頁1-20
主題關鍵詞:指數股票型基金簡單回歸單變量折價率ETFOLSGARCHGenerational autocorrelation heteroskedasticityGenerational autocorrelation conditional heteroskedasticityDiscounted
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:0
  • 點閱點閱:25
期刊論文
1.Fung, W.、Leung, X.(2001)。Information role of U.S. futures trading in a global financial market。The Journal of Futures Markets,21,1071-1090。  new window
2.Jares, T.、Lavin, A. M.(2004)。Japan and Hong Kong Exchange Traded Funds (ETFs) Discounts, Return, and Trading Strategies。Journal of Financial Services Research,25(1),57-69。  new window
3.Liu, Y. A.、Pan, M. S.、Shieh, J. C. P.(1996)。International Transmission of Stock Prices Movements: Evidence from the U.S. and Five Asian-Pacific Markets。Journal of Multinational Management,6,81-94。  new window
4.Antoniou, A.、Holmes, P.(1995)。Futures Trading and Spot Price Volatility: Evidence for The FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking and Finance,19,117-129。  new window
5.Sim, A. B.、Zurbreugg, R.(1999)。Intertemporal Volatility and Price Interactions Between Australian and Japanese Spot and Futures Stock Index Markets。Journal of Futures Markets,19(5),523-540。  new window
6.Ackert, L.、Tian, Y.(2000)。Arbitrage and valuation in the market for Standard and Poor's depositary receipts。Financial Management,29(3),71-88。  new window
7.Elton, E.、Gruber, M.、Comer, G.、Li, K.(2002)。Spiders: where are the bugs。Journal of Business,75(3),453-472。  new window
8.Koutmos, G.、Tucker, M.(1996)。Temporal Relationships and Dynamic Interactions between Spot and Futures Stock Markets。Journal of Futures Markets,16(1),55-69。  new window
9.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
10.Mayhew, S.、Stivers, C.(2003)。Stock Return Dynamics, Option Volume, and the Information Content of Implied Volatility。The Journal of Futures Markets,23(7),615-646。  new window
11.Kim, Dongcheol、Kon, Stanley J.(1994)。Alternative Models for the Conditional Heteroscedasticity of Stock Returns。The Journal of Business,67(4),563-598。  new window
12.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
13.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
14.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
15.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
研究報告
1.Thirumalai, R. S.(2003)。Active vs. Passive ETFs。Indiana University。  new window
學位論文
1.何峻銘(2004)。臺灣指數股票型基金(ETFs):追蹤誤差、折溢價與交易現況(碩士論文)。國立中正大學。  延伸查詢new window
 
 
 
 
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