期刊論文| 1. | Harris, F. H.、McInish, T. H.、Shoesmith, G. L.、Wood, R. A.(1995)。Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets。Journal of Financial and Quantitative Analysis，30，563-579。   |
| 2. | Daigler, R. T.(1997)。Intraday futures volatility and theories of market behavior。Journal of Futures Markets，17(1)，45-74。 |
| 3. | Miller, M. H.、Muthuswamy, J.、Whaley, R. E.(1994)。Mean reversion of standard and Poor's 500 index basis change: Abitrage-induced or statistical illusion?。Journal of Finance，49，479-513。 |
| 4. | Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1989)。The behavior of prices in the Nikkei spot and futures market。Journal of Financial Economics，23，363-383。 |
| 5. | Peters, E.(1985)。The Growing Efficiency of Index Futures Markets。The Journal of Portfolio Management，11(4)，52-56。 |
| 6. | Cheng, L. T. W.、Fung, J. K. W.、Chan, K. C.(2000)。Pricing Dynamics of Index Options and Index Futures in Hong Kong before and during the Asian Financial Crisis。Journal of Futures Markets，20(2)，145-166。 |
| 7. | Yadav, Pradeep K.、Pope, Peter F.(1990)。Stock Index Futures Arbitrage: International Evidence。The Journal of Futures Markets，10(6)，573-603。 |
| 8. | Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics，13(1)，27-35。 |
| 9. | Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal，40，43-47。 |
| 10. | Hasbrouck, J.(2003)。Intraday price formation in US equity index markets。Journal of Finance，58(6)，2375-2400。 |
| 11. | 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。 |
| 12. | Bollen, N. P. B.、Smith, T.、Whaley, R. E.(2003)。Optimal contract design: for whom?。Journal of Futures Markets，23(8)，719-750。 |
| 13. | Tse. Y. K.(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets Returns。Journal of Futures Markets，19，911-930。 |
| 14. | Modest, D. M.、Sundaresan, M.(1983)。The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence。Journal of Futures Markets，3(1)，15-41。 |
| 15. | Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis，8，21-34。 |
| 16. | Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis，28(1)，21-39。 |
| 17. | Karpoff, J. M.(1987)。The Relationship between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22，109-126。 |
| 18. | Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies，1(1)，3-40。 |
| 19. | Seguin, Paul J.、Bessembinder, Hendrik、Chan, Kalok(1996)。An Empirical Examination of Information, Differences of Opinion, and Trading Activity。Journal of Financial Economics，40(1)，105-134。 |
| 20. | Brailsford, T. J.、Cusack, A. J.(1997)。A Comparison of Futures Pricing Models in a New Market: The Case of Individual Share Futures。The Journal of Futures Markets，17(5)，515-541。 |
| 21. | Cakici, N.、Chatterjee, S.(1991)。Pricing Stock Index Futures with Stochastic Interest Rates。The Journal of Futures Markets，11(4)，441-452。 |
| 22. | Chung, Y. P.(1991)。A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。The Journal of Finance，46(5)，267-284。 |
| 23. | Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets，3(1)，1-14。 |
| 24. | Fung, J. K. W.、Draper, P.(1999)。Mispricing of Index Futures Contracts and Short Sales Constraints。The Journal of Futures Markets，19(6)，695-715。 |
| 25. | Gay, G. D.、Jung, D. Y.(1999)。A Further Look at Transaction Costs, Short Sale Restrictions, and Futures Market Efficiency: The Case of Korean Stock Index Futures。The Journal of Futures Markets，19(2)，153-174。 |
| 26. | 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。 |
| 27. | Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business，53(1)，67-78。 |
| 28. | Chou, R. K.、Lee, J.-H.(2002)。The Relative Efficiencies of Price Execution Between the Singapore Exchange and the Taiwan Futures Exchange。Journal of Futures Markets，22(2)，173-196。 |
| 29. | Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business，53(1)，61-65。 |
| 30. | Wiggins, J. B.(1991)。Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks。The Journal of Business，64，417-432。 |
| 31. | Kumar, Praveen、Seppi, Duane J.(1994)。Information and Index Arbitrage。The Journal of Business，67，481-509。 |
| 32. | Draper, P.、Fung, J. K. W.(2002)。A Study of Arbitrage Efficiency between FTSE-100 Index Futures and Options Contracts。The Journal of Futures Markets，22，31-58。 |
| 33. | Kleidon, A. W.(1992)。Arbitrage, Nontrading, and Stale Price: October 1987。The Journal of Business，65，483-507。 |
| 34. | Neal, R.(1996)。Direct Tests of Index Arbitrage Models。Journal of Financial and Quantitative Analysis，31，541-562。 |
| 35. | Harvey, C.、Whaley, R.(1992)。Dividends and S&P 100 Index Option Valuation。The Journal of Futures Markets，12，123-138。 |
| 36. | Ates, A.、Wang, G. N. K.(2005)。Information Transmission in Electronic versus Open-outcry Trading Systems: An Analysis of U.S. Equity Index Futures Markets。The Journal of Futures Markets，25，679-715。 |
| 37. | Huang, R. D.、Stoll, H. R.(1998)。Is It Time to Split the S&P 500 Futures Contracts?。Financial Analysts Journal，54(1)，23-35。 |
| 38. | Brock, W. A.、Kleidon, A. W.(1992)。Periodic Market Closure and Treading Volume: A Model of Intraday Bids and Asks。Journal of Economic Dynamics and Control，16，451-489。 |
| 39. | Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures - Some Evidence。The Journal of Futures Markets，10，367-375。 |
| 40. | Kurov, A.、Lasser, D. J.(2004)。Price Dynamics in the Regular and E-mini Futures Markets。Journal of Financial and Quantitative Analysis，39，365-384。 |
| 41. | Shalen, C.(2002)。The NEW Kids in Town - CBOT Mini-sized Dow Futures, Newest Minis Online。SFO Magazine，July。 |
| 42. | Frino, A.、McKenzie, M. D.(2002)。The Pricing of Stock Index Futures Spreads at Contract Expiration。The Journal of Futures Markets，22，451-469。 |
| 43. | Karagozoglu, A. K.、Martell, T. F.、Wang, G. H. K.(2003)。The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics。Review of Quantitative Finance and Accounting，21，323-348。 |
| 44. | Huang, Y. C.(2002)。Trading Activity in Stock Index Futures Markets: The Evidence of Emerging Markets。The Journal of Futures Markets，22，983-1003。 |
| 45. | Fleming, J.、Ostdiek, B.、Whaley, R. E.(1996)。Trading Costs and the Relative Rate of Price Discovery in Stock, Futures and Options Markets。The Journal of Futures Markets，4，353-387。 |