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題名：臺灣50指數ETF上市對臺指期貨訂價效率之影響
書刊名：臺灣期貨與衍生性商品學刊
作者：金鐵英 引用關係／金鐵珊／金之中
作者(外文)：Jin, Tiein／Jin, Tieh-shang／Chin, Chih-chung
出版日期：2011
卷期：12
頁次：頁66-91
主題關鍵詞：臺灣50指數ETF；指數股票型基金；臺指期貨訂價效率；Taiwan 50；Exchange trade fund；ETF；Pricing efficiency of TAIFEX
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  • 點閱點閱:47
期刊論文
1.Ackert, L. F.、Tian, Y. S.(2001)。Efficiency in index options markets and trading in stock baskets。Journal of Banking & Finance，25，1607-1634。  new window
2.Chu, Q.、Heish, W. G.(2002)。Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's depositary receipts。Journal of Futures Markets，22(9)，877-900。  new window
3.Ackert, L. F.、Tian, Y. S.(1998)。The Introduction of Toronto Index participation Units and Arbitrage Opportunities in the Toronto 35 Index Option Market。Journal of Derivatives，5(4)，44-53。  new window
4.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。  new window
5.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。  new window
6.Yadav, Pradeep K.、Pope, Peter F.(1994)。Stock index futures mispricing: profit opportunities or risk premia?。Journal of Banking & Finance，18(5)，921-953。  new window
7.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
8.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
9.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
10.Ackert, L. F.、Tian, Y. S.(2000)。Arbitrage and Valution in the Market for Standard and Poor’s Depositary Receipts。Financial Management，29，71-88。  new window
11.Borkovec, M.、Domowitz,I.、Serbin, V.、Yegerman, H.(2010)。Liquidity and 'rice Discovery in Exchange Traded Funds: One of Several Possible Lessons from the Flash Crash。Journal of Index Investing，1，24-42。  new window
12.Gao, S.、Bell, H.(2011)。A New Dimension of ETF Investing ETF Derivatives。ETFs and Indexing，Fall，57-61。  new window
13.Kurov, A.A.、Lasser, D.J.(2002)。The Effect of the Introduction of Cubes on the Nasdaq 100 Index Spot-Futures Pricing Relationship。Journal of Futures Markets，22，197-218。  new window
14.Little, P. K.(2010)。Inverse and Leveraged ETFs: Not Your Father's ETF。Journal of Index Investing，1，83-89。  new window
15.Milonas N.、Rompotis, G.(2010)。Dual Offerings of ETFs on the Same Stock Index: U.S. vs. Swiss ETFs。Journal of Alternative Investments，12，97-113。  new window
16.Park, T.H.、Switzer, L.N.(1995)。Index Participation Units and the Performance of Index Futures Markets, Evidence from the Toronto 35 Index Participation Units Market。Journal of Futures Markets，15，187-200。  new window
17.Schlusche, B.(2009)。Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures。Journal of Derivatives，17，26-40。  new window
18.Switzer, L.N.、Varson, P.L.、Zghidi, S.(2000)。Standard and Poor's Depository, Receipt and the Performance of the S&P 500 Index Futures Market。The Journal of Futures Markets，20，705-716。  new window
19.Chan, K.、Chung, Y. P.(1993)。Intraday Relationship among Index Arbitrage, Spot and Futures Price Volatility, and Spot Market Volume: A Transaction Data Test。Journal of Banking and Finance，17，663-687。  new window
學位論文
1.唐婉崴(2003)。指數現貨、指數期貨與指數股票式基金間價格發現能力之探討--以NASDAQ 100指數商品為例(碩士論文)。淡江大學。  延伸查詢new window
2.張美媛(2003)。指數股票式基金之上市與指數期貨市場的定價效率--以S&P 500指數商品為例(碩士論文)。淡江大學。  延伸查詢new window
3.黃佐銘(2005)。摩根台指現貨與期貨到期效應之實證研究。朝陽科技大學。  延伸查詢new window
4.孫毓徽(2003)。指數股票式基金之上市與指數期貨市場的定價效率--以道瓊工業指數商品為例。私立淡江大學。  延伸查詢new window
圖書
1.Enders, W.(2010)。Applied Econometric Time Series。Wiley & Sons Inc。  new window
2.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
3.歐宏杰、賴昭隆、陳品橋、劉宗聖(2002)。寶來金融商品叢書系列2:全球指數型商品。臺北。  延伸查詢new window
4.Fuller, W.(2010)。Introduction to Statistical Time Series。New York, NY：Wiley。  new window
5.Hull, C. J.(2011)。Options Futures and Other Derivatives。New Jersey。  new window
6.Bodie, Z.、Kane, A.、Marcus, J.A.(2011)。Investments。Boston。  new window
其他
1.臺灣證交所(2011)。ETF指數型股票型基金宣導手冊。  延伸查詢new window
 
 
 
 
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