期刊論文1. | Karolyi, G. A.(2002)。Did the Asian Financial Crisis Scale Foreign Investors out of Japan?。Pacific-Basin Finance Journal,10(4),411-442。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Park, Tae H.、Switzer, Lorne N.(1995)。Time-Varying Distributions and the Optimal Hedge Ratios for Stock Index Futures。Applied Financial Economics,5(3),131-137。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | 王健聰(20061000)。市場不完美性與指數套利關係之研究。管理與系統,13(4),441-469。 延伸查詢![new window](/gs32/images/newin.png) |
4. | Diether, Karl B.、Lee, Kuan-Hui、Werner, Ingrid M.(2009)。It's SHO Time! Short-Sale Price Tests and Market Quality。Journal of Finance,64(1),37-73。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Beber, A.、Pagano, M.(2013)。Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis。Journal of Finance,68(1),343-381。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short selling and asset price adjustment to private information。Journal of Financial Economics,18(2),277-311。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Draper, P.、Fung, J. K. W.(2003)。Discretionary government Intervention and the mispricing of index futures。Journal of Futures Markets,23(12),1159-1189。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | MacKinnon, J. G.(1996)。Numerical distribution functions for unit root and cointegration tests。Journal of Applied Econometrics,11(6),601-618。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Eytan, T. H.、Harpaz, G.(1986)。The Pricing of Futures and Option Contracts on the Value Line Index。The Journal of Finance,41(4),843-857。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40(4),43-47。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。The Journal of Financial and Quantitative Analysis,26(3),287-308。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Hsu, H.、Wang, J.(2004)。Price Expectation and the Pricing of Stock Index Futures。Review of Quantitative Finance and Accounting,23(2),167-184。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Brenner, Menachem、Subrahmanyam, Marti G.、Uno, Jun(1990)。Arbitrage Opportunities in the Japanese Stock and Futures Markets。Financial Analysis Journal,46(2),14-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Brown-Hruska, S.、Kuserk, G.(1995)。Volatility, Volume and the Notion of Balance in the S&P 500 Cash and Futures Markets。The Journal of Futures Markets,15(6),677-689。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets,3(1),1-14。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。The Journal of Finance,38(3),675-694。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Floros, C.、Vougas, D. V.(2004)。Hedge Ratios in Greek Stock Index Futures Market。Applied Financial Economics,14(15),1125-1136。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica,53(2),363-384。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Yadav, P. K.、Pope, P. F.(1994)。Stock Index Futures Mispricing: Profit Opportunities or Risk Premia?。Journal of Banking & Finance,18(5),921-953。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | 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。 延伸查詢![new window](/gs32/images/newin.png) |
25. | Bessembinder, H.、Seguin, P. J.(1992)。Futures-trading activity and stock price volatility。Journal of Finance,47(5),2015-2034。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Wang, J.、Hsu, H.(2006)。Price Expectation and the Pricing of Stock Index Futures: Evidence from Developed and Emerging Markets。Review of Pacific Basin Financial Markets and Policies,9(4),639-660。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Bris, A.、Goetzmann, W. N.、Zhu, N.(2007)。Efficiency and the Bear: Short Sales and Markets Around the World。Journal of Finance,62(3),1029-1079。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | 黃柏凱、張元晨、臧大年(20040700)。影響股價指數期貨定價誤差因素之研究--以臺股期貨為例。證券市場發展季刊,16(2)=62,81-114。 延伸查詢![new window](/gs32/images/newin.png) |
29. | Figlewski, S.(1989)。Options arbitrage in imperfect markets。Journal of Finance,44(5),1289-1311。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Wang, J.(2008)。Degree of market imperfections: evidence from four Asian index futures markets。Applied Financial Economics,18(15),1233-1246。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Wang, J.(2009)。Stock market volatility and the forecasting performance of stock index futures。Journal of Forecasting,28(4),277-292。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
37. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |