期刊論文1. | Bae, K.-H.、Chan, K.、Cheung, Y.-L.(1998)。The profitability of index futures arbitrage: Evidence from bid-ask quotes。Journal of Futures Markets,18(7),743-763。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Billingsley, R. S.、Chance, D. M.(1988)。The Pricing and Performance of Stock Index Futures Spreads。Journal of Futures Markets,8,303-318。 ![](/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,S7-S31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1990)。Arbitrage Opportunities in the Japanese Stock and Futures Markets。Financial analysts journal,14-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Bühler, Wolfgang、Kempf, Alexander(1995)。Dax index futures: Mispricing and arbitrage in German markets。Journal of Futures Markets,15(7),833-859。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | 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) |
8. | Chang, J. S. K.、Loo, J. C.(1987)。Marking-to-Market, 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) |
9. | 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) |
10. | Cornell, B.、French, K.(1983)。The Pricing of Stock Index Futures。Journal of Futures Market,3,1-14。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Cornell, B.、French, K.(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) |
12. | Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures : the Case for Disequilibrium。Financial Analysts journal,43-47。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Fung, J. K. W.、Chan, K. C.(1994)。On the Arbitrage-Free Pricing Relationship Between Index Futures and Index Options: A Note。Journal of Futures Markets,14,957-962。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Grudnitski, G.、Osburn, L.(1993)。Forecasting S&P and Gold Futures Prices : An Application of Neural Networks。Journal of Futures Markets,13,631-643。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Kawaller, I. G.(1991)。Determining the Relevant Fair Value(s) of S&P 500 Futures: A Case Study Approach。Journal of Futures Markets,11,453-460。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Kempf, A.(1998)。Short Selling, Unwinding, and Mispricing。Journal of Futures Markets,18,903-923。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | 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) |
18. | Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。Journal of Futures Markets,13,889-902。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Lim, K. G.(1992)。Arbitrage and Price Behavior of the Nikkei Stock Index Futures。Journal of Futures Markets,12,151-161。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Merrick, J. J. Jr.(1989)。Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects。Journal of Futures Markets,9(2),101-111。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | 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) |
22. | Modest, D. M.(1984)。On the Pricing of Stock Index Futures。Journal of Portfolio Management,51-57。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Neal, R.(1996)。Direct Tests of Index Arbitrage Models。Journal of Financial and Quantitative Analysis,31,541-562。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Ntungo, C.、Boyd, M.(1998)。Commodity Futures Trading Performance Using Neural Network Models Versus ARIMA Models。Journal of Futures Markets,18,965-983。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Puttonen, V.、Martikainen, T.(1991)。Short Sale Restrictions: Implication for Stock Index Arbitrage。Economics Letters,37(2),159-163。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Shazly, M. R. E.、Shazly, H. E. E.(1997)。Comparing the Forecasting Performance of Neural Networks and Forward Exchange Rates。Journal of Multinational Financial Management,7,345-356。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Yadav, P. K.、Pope, P. F.(1990)。Stock Index Futures Arbitrage: International Evidence。Journal of Futures Markets,10,573-603。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | 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) |
29. | 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) |
30. | 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) |
31. | 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) |
32. | Zhang, Guoqiang、Patuwo, B. Eddy、Hu, Michael Y.(1998)。Forecasting with artificial neural networks: the state of the art。International Journal of Forecasting,14(1),35-62。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |