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題名:影響股價指數期貨定價誤差因素之研究--以臺股期貨為例
書刊名:證券市場發展季刊
作者:黃柏凱 引用關係張元晨 引用關係臧大年
作者(外文):Huang, Po-kaiChang, Yuan-chenTzang, Dah-nein
出版日期:2004
卷期:16:2=62
頁次:頁81-114
主題關鍵詞:股價指數期貨定價誤差套利MispricingStock index futuresArbitrage
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(8) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:7
  • 共同引用共同引用:24
  • 點閱點閱:28
期刊論文
1.Hsieh, W. L. G.(2004)。Regulatory Changes and Information Competition: The Case of Taiwan Index Futures。The Journal of Futures Markets,24,399-412。  new window
2.Lim, K. G.(1990)。Arbitrage and price behavior of the Nikkei stock index futures。Journal of Futures markets,12(2),151-161。  new window
3.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。  new window
4.Peters, E.(1985)。The Growing Efficiency of Index Futures Markets。The Journal of Portfolio Management,11(4),52-56。  new window
5.Yadav, Pradeep K.、Pope, Peter F.(1990)。Stock Index Futures Arbitrage: International Evidence。The Journal of Futures Markets,10(6),573-603。  new window
6.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40,43-47。  new window
7.Cornell, B.(1985)。Taxes and the pricing of stock index futures: Empirical results。Journal of Futures Markets,5,89-102。  new window
8.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。  new window
9.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11(3),291-311。  new window
10.Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。Journal of Financial and Quantitative Analysis,26,287-308。  new window
11.Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。  new window
12.黃玉娟、徐守德(19990900)。股價指數期貨定價之研究--新加坡摩根臺指期貨之實證。亞太管理評論,4(3),255-269。new window  延伸查詢new window
13.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。  new window
14.Brenner, Menachem、Subrahmanyam, Marti G.、Uno, Jun(1990)。Arbitrage Opportunities in the Japanese Stock and Futures Markets。Financial Analysis Journal,46(2),14-24。  new window
15.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
16.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets,3(1),1-14。  new window
17.Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。The Journal of Finance,38(3),675-694。  new window
18.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。  new window
19.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。  new window
20.Mackinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behavior of stock index futures prices: some preliminary evidence。The Journal of Futures Markets,1(2),137-158。  new window
21.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
22.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。new window  延伸查詢new window
23.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。new window  延伸查詢new window
24.Chou, R. K.、Lee, J.-H.(2002)。The Relative Efficiencies of Price Execution Between the Singapore Exchange and the Taiwan Futures Exchange。Journal of Futures Markets,22(2),173-196。  new window
25.Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets,10(4),367-375。  new window
26.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
27.Hill, J. M.、Jain, A.、Wood, R. A., Jr.(1988)。Insurance: Volatility Risk and Futures Mispricing。The Journal of Portfolio Management,14,23-29。  new window
28.Saunders, E. M., Jr.、Mahajan, A.(1988)。An Empirical Examination of Composite Stock Index Futures Pricing。The Journal of Futures Markets,8,211-228。  new window
學位論文
1.董士德(1996)。撮合頻率的改變及電腦輔助人工撮合改成電腦自動撮合對臺灣股市績效的影響,0。  延伸查詢new window
2.蘇盟元(1995)。從人工輔助撮合改為電腦撮合對股票市場績效的影響(碩士論文)。國立中山大學。  延伸查詢new window
3.何宣儀(2000)。股價指數期貨套利機會分析並驗證國內期貨市場之有效性-以臺股、電子、金融期貨為例,沒有紀錄。  延伸查詢new window
4.繆文娟(1999)。摩根臺股指數期貨套利策略之研究,沒有紀錄。  延伸查詢new window
圖書
1.Sutcliffe, C. M. S.(1997)。Stock Index Futures: Theories and International Evidence。Stock Index Futures: Theories and International Evidence。United Kingdom。  new window
 
 
 
 
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