期刊論文1. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40,43-47。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Brennan, M. J.、Schwartz, E. S.(1990)。Arbitrage in stock index futures。Journal of Business,63,7-31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex-Post and Ex-Ante Profitability of Index Arbitrage。Journal of Futures Markets,11,291-311。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | 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,3,15-41。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Modest, D. M.(1984)。On the Pricing of Stock Index Futures。Journal of Portfolio Management,10,51-57。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Merrick, J. J. Jr.(1987)。Volume Determination in Stock and Stock Index Futures Market: An Analysis of Arbitrage and Volatility Effects。Journal of Futures Market,7,483-496。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Stoll, H. R.、Whaley, R. E.(1987)。Expiration Day Effect of Index Options and Futures。Financial Analyst Journal,43,16-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Yadav, P. K.、Pope, P. F.(1990)。Stock Index Futures Pricing: International Evidence。Journal of Futures Markets,10,573-603。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | MacKinlay, A. C.、Ramaswamy, K.(1988)。Program Trading and the Behavior of Stock Index Futures Prices。Review of Financial Studies,1,137-158。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Cakici, N.、Chatterjee, S.(1991)。Pricing Stock Index Futures with Stochastic Interest Rates。Journal of Futures Markets,11,441-452。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Chang、Loo(1987)。Marking-to-Market, Stochastic Interest Rates and Discounts on Stock Index Futures。Journal of Futures Markets,7,15-20。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Chung, Y. P.(1991)。A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。Journal of Finance,46,1791-1809。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。Journal of Futures Markets,3,1-14。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。Journal of Finance,38,675-694。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | 林文政、臧大年(19960700)。臺灣股指期貨定價與套利實務問題探討。證券市場發展,8(3)=31,1-31。 延伸查詢![new window](/gs32/images/newin.png) |
17. | Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets,10(4),367-375。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |