期刊論文1. | Fama, E. F.、French, K. R.(1987)。Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage。The Journal of Business,60(1),55-73。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Jeon, B. N.、Von Furstenberg, G. M.(1990)。Growing International Co-Movement in Stock Price Indexes。The Quarterly Review of Economics & Business,30(3),15-30。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Coleman, M.(1990)。Cointegration-based Tests of Daily Foreign Exchange Market Efficiency。Economics Letters,32,53-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Fung, H. G.、Leung, W. K.(1993)。The Pricing Relationship of Eurodollar Futures and Eurodollar Deposit Rates。The Journal of Futures Markets,13(2),115-126。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Hsiao, Cheng(1981)。Autoregressive Modeling and Money-Income Causality Detection。Journal of Monetary Economics,7(1),85-106。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Hodrick, R. J.(1992)。Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement。The Review of Financial Studies,5(3),357-386。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14(1/2),3-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Garbade, K. D.、Silber, W. L.(1983)。Price Movements and Price Discovery in Futures and Cash Markets。The Review of Economics and Statistics,65(2),281-297。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Darrat, A. F.、Rahman, S.(1995)。Has futures trading activity caused stock price volatility?。The Journal of Futures Markets,15(5),537-557。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | 張宮熊、吳欽杉、林財源(19980600)。臺灣股票市場類股間資訊傳遞結構之研究。中山管理評論,6(2),441-458。 延伸查詢![new window](/gs32/images/newin.png) |
14. | Herbst, Anthony F.、McCormack, Joseph P.、West, Elizabeth N.(1987)。Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts。The Journal of Futures Markets,7(4),373-381。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | 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) |
19. | Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | 吳欽杉、張宮熊(1996)。臺灣股票市場、貨幣市場與外匯市場資訊傳遞結構之研究。中國財務學刊,4(2),21-40。 延伸查詢![new window](/gs32/images/newin.png) |
23. | Jeng, Y.、Kim, C. -W.、Wan-Sulaiman, W. M. H.(1992)。International Transmission of Stock Market Movements and Korea and Taiwan Fund Prices。Pacific Basin Capital Markets Research,3,205-223。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Lesage, J. P.(1990)。A Comparison of the Forecasting Ability of ECM and VAR Models。The Review of Economics and Statistics,72,664-671。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Caines, P. E.、Keng, C. W.、Sethi, S. P.(1981)。Causality analysis and multivariate autoregressive modelling with an application to supermarket sales analysis。Journal of Economic Dynamics & Control,3,267-298。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Chan, K.、Chung, Y. P.(1995)。Vector Autoregression or Simultaneous Equations Model? The Intraday Relationship Between Index Arbitrage and Market Volatility。Journal of Banking & Finance,19(1),173-179。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | 朱浩民(1995)。「期貨元年」市場情況及投資人交易型態與損益分析。證券市場發展季刊,7(3),1-16。 延伸查詢![new window](/gs32/images/newin.png) |
28. | Bessler, D. A.、Covey, T.(1991)。Cointergration: Some Results on U. S. Cattle Prices。The Journal of Futures Markets,11(4),461-474。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Brandt, A.、Bessler, D. A.(1992)。An Analysis of Forecasts of Livestock Prices。Journal of Economic Behavior & Organization,18(2),249-263。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Canarella, G.、Pollard, S. K.(1985)。Efficiency of Commodity Futures: A Vector Autoregression Analysis。The Journal of Futures Markets,5(1),57-76。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Cita, J.、Lien, D.(1992)。A Note on Constructing Spot Prices Indices to Approximate Futures Prices。The Journal of Futures Markets,12(4),447-457。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | French, K. R.(1986)。Detecting Spot Prices Forecasts in Futures Price。The Journal of Futures Markets,39-54。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Khoury, N. T.、Yourougou, P.(1991)。The Informational Content of the Basis: Evidence from Canadian Barley, Oats, and Canola Futures Markets。The Journal of Futures Markets,11(1),69-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Koch, P. D.(1993)。Reexaminating Intraday Simultaneity in Stock Index Futures Markets。Journal of Banking & Finance,17(6),1191-1205。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | MacDonald, S. S.、Hein, S. E.(1989)。Futures Rates and Forward Rates as Predictors of Near-Term Treasury Bill Rates。The Journal of Futures Markets,9(3),249-262。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | Oellermann, C. M.、Brorsen, B.、Farris, P. L.(1989)。Price Discovery for Feeder Cattle。The Journal of Futures Markets,113-121。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
37. | Shyy, G.、Batcher, B.(1994)。Price Equilibrium and Transmission in a Controlled Economy: A Case Study of the Metal Exchange in China。The Journal of Futures Markets,14(8),877-890。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
38. | Wang, G. H. K.、Yau, J.(1994)。A Time Series Approach to Testing for Market Linkage: Unit Root and Cointegration Tests。The Journal of Futures Markets,14(4),457-474。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
39. | Hodrick, R. J.、Bekaert, G.(1992)。Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets。The Journal of Finance,47(2),467-509。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |