| Reference: | 一、 中文部分（依作者筆畫排列）
1. 吳易欣，股價指數期貨與現貨之關連性研究-新加坡摩根台股指數期貨實証分析，國立政治大學金融研究所碩士論文，民國87年1月。
2. 賴瑞芬，台股指數現貨與期貨日內價格關係之研究，國立台灣大學財務金融研究所碩士論文，民國86年6月。
二、 英文部分
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2. Chu, Q. C., Hsieh, W. G., and Tse, Y. (1998): "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRS," Working paper.
3. Doldado, J., Jenkinson, T., and Sosvilla-Rivero, S. (1990): "Cointegration and Unit Roots," Journal of Economic Surveys, 4:249-273.
4. Enders, W., Applied Econometric Time Series, 1995.
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6. Engle, R. F., and Yoo, B. S. (1987): "Forecasting and Testing in Co-integrated Systems," Journal of Econometrics, 35:143-159.
7. Ghosh, A. (1993): "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices," The Journal of Futures Markets, 13:193-198.
8. Granger, C. W. J. (1969): "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, 37:424-438.
9. Granger, C. W. J. (1988): "Some Recent Developments in a Concept of Causality," Econometrica, 39: 199-211.
10. Herbst, A. F., McCormack, J.P., and West, E. N. (1987): "Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts," The Journal of Futures Markets, 7:373-381.
11. Iihara, Y., Kato, K., and Tokunaga, T. (1996): "Intraday Return Dynamics between the Cash and the Futures Markets in Japan," The Journal of Futures Markets, 16:147-162.
12. Johansen, S., and Juselius, K. (1990): "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money," Oxford Bulletin of Economics and Statistics, 52:169-209.
13. Kawaller, I. G., Koch, P. D., and Koch, T. W. (1987): "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index," The Journal of Finance, 42:1309-1329.
14. Lutkepohl, H., and Reimers, H. (1992): "Impulse Response Analysis of Cointegrated Systems," Journal of Economic Dynamics and Control, 16:53-78.
15. Min, J. H., and Najand, M. (1999): "A Further Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea," The Journal of Futures Markets, 19:217-232.
16. Osterwald-Lenum, Michael (1992): "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, 54:461-471.
17. Pizzi, M. A., Economopoulos, A. J., and O`Neill, H. M. (1998): "An Examination of the Relationship between Stock Index Cash and Futures Markets: A Cointegration Approach," The Journal of Futures Markets, 18:297-305.
18. Stoll, H. R., and Whaley, R. E. (1990): "The Dynamics of Stock and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, 25: 441-468.
19. Tse, Y. K. (1995): "Lead-Lag Relationship between Spot Index and Futures Price of the Nikkei Stock Average," Journal of Forecasting, 14:553-563.
20. Wahab, M., and Lashgaari, M. (1993): "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach," The Journal of Futures Markets, 13:711-742. |
