| Reference: | 中文部分(依作者筆劃順序排列)：
王凱蒂 (2000), 臺股指數期貨價格發現(Price Discovery)之探討: 日內與週型態, 政治大學財務管理學系碩士論文.
王友珊 (1999), 台股指數期貨與現貨價格之動態關聯性, 國防管理學院資源管理學系碩士論文.
呂秋香 (2000), 股價指數期貨之時間攸關異常效應, 台灣科技大學資訊管理研究所碩士論文.
佘光麒 (2000), Managed futures簡介, 寶來金融創新季刊第12期.
吳易欣 (1998), 股價指數期貨與現貨之關聯性─新加坡摩根台股指數期貨實證分析, 政治大學金融學系碩士論文.
周行一、杜化宇、黃冠文、陳盈之、鐘伯婷 (2002), 台灣共同基金使用期貨之績效研究, 台灣期貨交易所未出版研究報告.
陳松男 (1996), 選擇權與期貨：衍生性商品.
陳淑慧 (1996), 衍生性金融商品運用於基金管理之研究, 國立台灣大學商學研究所碩士論文.
黃玉娟、許守德 (1997), 台股指數現貨與期貨市場價格動態關聯性之研究, 証券市場發展季刊, 第9卷, 第3期, pp. 1-28.
黃冠文 (2002), 加值指數型基金─現貨替換, 國立政治大學未出版研究
賴瑞芬 (1997), 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.
英文部分(依作者字母順序排列)：
Abhyankar, A. H., L. S. Copeland and W. Wong (1995), Life cycles: Intraday evidence from the FT-SE 100 stock index futures markets, Department of Accountancy and Finance, University of Stirling.
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Anonymous (1992), Top 1,000 funds: Indexing rises 32% on market muscle, Pensions & Investments, vol. 20, no. 2, pp. 18-19.
Anonymous (1996), Los Angeles fund seeking equity managers, Pensions & Investments, vol. 24, no, 26, pp. 4, 30.
Anonymous (1998), Skandia adds enhanced index to annuity series, Fund Action, vol. 9, no. 3, pp. 4.
Anonymous (1998), Changes ahead, Pensions & Investment, vol. 26, no. 2, pp. 102.
Anonymous (1999), Conn. Adviser markets new enhanced index funds, Fund Marketing Alert, vol. 4, no. 3, pp. 6.
Anonymous (1999), IMW news you can be — Searches, Investment Management Weekly, Feb 15, pp. 1.
Anonymous (2001), Fudging the numbers: Arbitrage in the stock indexes, Futures, vol. 30, no. 7, pp. 31-32
Anonymous (2002), Enhanced index funds shine after getting pounded last year, Bank Investment Marketing, vol. 10, no.1, pp. 28.
Anonymous (2002), Select enhanced index mutual funds, Bank Investment Marketing, vol. 10, no. 1, pp. 28.
Arditti, F. D., S. Ayaydin, R. K. Mattu and S. Rigsbee (1986), Technical notes: A passive futures strategy that outperforms active management, Financial Analysts Journal, July-August, pp. 63-66.
Bamberg, G. and K. Roder (1994), Seasonality in ex ante German stock index futures arbitrage: Where do reverse cash and carry arbitrage profits in Germany come from, edited by Seventh Annual European Futures Research Symposium.
Barr, P. G. (1996), Execs wary of derivatives, Pensions & Investments, Vol.24, 2,26.
Barr, P. G. (1997), Enhanced strategies take off, Pensions & Investments, vol. 25, no. 8, pp. 24, 26.
Barr, P. G. and B. B. Barry (1995), Smith Breeden gets performance beats fear, Pensions & Investments, vol. 23, no. 17, pp. 26.
Baratz, M. S. and W. Eresian (1990), The role of managed futures accounts in an investment portfolio, MAR Mid-Year Conference on Futures Money Management, July.
Baratz, M. S. and W. Eresian (1990), The role of managed futures accounts in an investment portfolio, MAR Conference on Futures Money Management, January.
Billingsley, R. S. and D. M. Chance (1988), The pricing and performance of stock index futures spreads, Journal of Futures Markets, vol. 8, no. 3, pp. 303-318.
Blank, S. C. (1990), Determining futures hedging reserve capital requirements, Journal of Futures Markets, vol. 10, no. 2, pp. 169-177.
Block, S. (1997), Stock funds go gourmet to beat index, USA Today, Mar 3, B, 1:5.
Block, S. (2001), Costs, taxes often hurt enhanced fund, USA Today, Jan 2, B.3.
Board, J. L. G. and C. M. S. Sutcliffe (1990), Information, volatility, volume and maturity: An investigation of stock index futures, Review of Futures Markets, vol. 9, no. 3, pp. 532-549.
Bodie, Z. (1983), Commodity Futures as a hedge against inflation, Journal of Portfolio Management, Spring.
Booth, G. C., T. Martikainen and V. Puttonen (1993), The international lead-lag effect between market returns: Comparison of stock index futures and cash markets, Journal of International Financial Markets, Institutions and Money, vol. 3, no. 2, pp. 59-71.
Braham, L. (1998), The odd couple, Financial Planning, vol. 28, no. 1, pp. 65-66.
Bresiger, G. (1999), Reaching for the sky: A Los Angeles money management firm says it can outdo the indexers. Who’s paying for this “free lunch”, Financial Planning, Nov 1, pp. 89-93.
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Burr, B. B. (1995), Look who isn’t big on derivatives, Pensions & Investments, Vol.23, 10.
Cardona, M. M. (1996), Enhanced indexing rapped, Pensions & Investments, vol. 24, no. 16, pp. 60.
Castelino, M. G. (1989), Basis Volatility: Implication for hedging, Journal of Financial Research, vol. 12, no. 2, pp. 157-174.
Castelino, M. G. and J. C. Francis (1982), Basis speculation in commodity futures: The maturity effect, Journal of Futures Markets, vol. 2, no. 2, pp. 195-206.
Chamberlain, T. W. (1989), Maturity effects in futures markets: Some evidence from the City of London, Scottish Journal of Political Economy, vol. 36, no. 1, pp. 90-95.
Chan, K., K. C. Chan and G. A. Karolyi (1991), Intraday volatility in the stock index and stock futures markets, Review of Financial Studies, vol. 4, no. 4, pp. 657-684.
Chance, D. M. (1994), Futures pricing and the cost of carry under price limits, Journal of Futures Markets, vol. 14, no. 7, pp. 813-836.
Chernoff, J. (2000), CalPERS gets creative, Pensions & Investments, vol. 28, no. 18, pp. 1, 62.
Chernoff, J. (2001), New core portfolio about stock-picking, not tracking error, Pensions & Investments, vol. 29, no. 5, pp. 28.
Cheung, Y. W. and L. K. Ng (1990), The dynamics of S&P 500 index and S&P 500 futures intraday price volatilities, Review of Futures Markets, vol. 9, no. 2, pp. 458-486.
Christie, A. (1982), The stochastic behavior of common stock variances: Value, leverage and interest rate effects, Journal of Financial Economics 10, pp. 407-432.
Clouse, C. J. (1998), Rhode Island snags enhanced index pros, Investment Management Weekly, May 11, pp.1.
Clouse, C. J. (1999), Chicago park seeks semi-passive manager, Investment Management Weekly, May 24, pp. 2.
Clouse, C. J. (1999), Duluth teachers board ponders new mandates, Investment Management Weekly, Nov 15, pp. 2.
Clouse, C. J. (1999), Foundation replaces value stock manager, Investment Management Weekly, Feb 15, pp. 3.
Clouse, C. J. (1999), Illinois municipal adds enhanced fixed, Investment Management Weekly, Dec 6, pp. 3.
Codding, J. (2000), New hedge fund index targets S&P 500, Futures, vol.29, no. 1, pp. 2.
Cornell, B. and K.R. French (1983), Taxes and the pricing of stock index futures, Journal of Finance, vol. 38, no. 3, pp.675-694.
Cox, J. C., J. E. Ingersoll and S. A. Ross (1981), The relation between forward prices and futures prices, Journal of Financial Economics, vol. 9, no. 4, pp. 321-346.
Damato, K. (1997), Funds haven’t done well by indexing small stocks, Wall Street Journal, January 28, P.C1.
Ekman, P. D. (1992), Intraday patterns in the S&P 500 index futures markets, Journal of Futures Markets, vol. 12, no. 4, pp. 365-381.
Elton, E. J., M. J. Gruber and J. C. Rentzler (1987), Professionally Managed, Publicly Traded Commodity Funds, Journal of Business 60, no. 2, 1987.
Elton, E. J., M. J. Gruber and J. C. Rentzler (1990), The performance of publicly offered commodity funds, Financial Analysts Journal, July-Augest.
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Fama, E. and G.W. Schwert (1977), Asset returns and inflation, Journal of Financial Economics 5, pp. 115-146.
Figlewski, S. (1984), Explaining the early discounts on stock index futures: The case for disequilibrium, Financial Analysts Journal, July-August, pp.43-47.
Fischmar, D and C. C. Peters (1991), Portfolio of stocks, bonds and managed futures using compromise stochastic dominance, Journal of Futures Markets Ⅱ, no. 3, June.
Fitzgerald, M. D. (1993), Financial Futures, Euromoney Books, Second edition.
Fitzsimmons, K. (1997), Annuities watch: Annuities add enhanced index funds, Wall Street Journal, Aug 25, C, 18:1.
Fortin, R. and S. Michelson (1999), Fund indexing VS active management: The results are, Journal of Financial Planning, vol. 5, no. 12, pp. 74-81.
Frino, A. and M. D. Mckenzie (2002), The pricing of stock index futures spreads at contract expiration, Journal of Futures Markets, vol. 22, no. 5, pp. 451-469.
Fulman, R. (1999), N.Y. common ups enhanced indexed stock, Pensions & Investments, vol. 27, no. 5, pp. 3, 46.
Fulman, R. (2002), GE asset pulls in nearly $8 billion from institutional investors in 2001, Pensions & Investments, vol. 30, no. 3, pp. 35.
Fung, J. K. W. and P. Draper (1999), Mispricing of index futures contracts and short sales constraints, Journal of Futures Markets, vol. 19, no. 6, pp. 695-715.
Gastineau, G. and A. Madansky (1983), S&P 500 stock index futures evaluation tables, Financial Analysts Journal, vol. 30, no. 6, pp. 68-76.
Ghosh, A. (1993), Cointegration and error correction models: Intertemporal causality between index and futures prices, Journal of Futures Markets, vol. 13, no. 7, pp. 743-752.
Gitter, M. (1995), Investing, for the passive-aggressive, Financial Planning, vol. 24, no. 2, pp. 59.
Gordon, D. (1997), These super index funds aim to beat the market, Money, vol. 26, no. 5, pp. 130-134.
Grinold, R. and Kahn (1995), Active Portfolio Management.
Gutner, T. (1999), Enhanced? Only the expenses, Business Weekly, July 5, pp. 94.
Han, L. M. and L. Misra (1990), The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices, Journal of Futures Markets, vol. 10, no. 3, pp. 273-285.
Harris, L., G. Sofianos and J. E. Shapiro (1994), Program trading and intraday volatility, Review of Financial Studies, vol. 7, no. 4, pp. 653-685.
Hasbrouck, J. (1996), Order characteristics and stock price evolution: An application to program trading, Journal of Financial Economics, vol. 41, no. 1, pp. 129-149.
Hill, J. M., R. C. Jones, L. A. Kohn and D. G. Kabiller (1995), Enhanced Indexation, Pension & Endowment Forum, edited by Goldman Sachs.
Hill, J. M. and H. Naviwala (1999), Synthetic and enhanced index strategies using futures on U.S. indexes, Journal of Portfolio Management, May, pp. 61-74.
Huang, K.W. (2002), Price behavior of index futures spread when contract expires, National Chengchi University, Working paper.
Huang, K. W. (2002), Intraday patterns of Taifex spread, National Chengchi University, Working paper.
Irwin, S. and D. Landa (1987), Real estate, futures, and gold as portfolio assets, Journal of Portfolio Management, Fall.
Jensen, M. C. (1968), The performance of mutual funds in the period 1945-1964, Journal of Finance, May.
Kawaller, I. G., P. D. Koch and T. W. Koch (1987), The temporal price relationship between S&P 500 futures and S&P 500 index, Journal of Finance, vol. 42, no. 5, pp. 1309-1329.
Kawaller, I. G., P. D. Koch, and J. E. Perterson (1994), Assessing the intraday relationship between implied and historical volatility, Journal of Futures Markets, vol. 14, no. 3, pp. 323-346.
Kelly, B. (1999), Foreign enhanced index attracts $900 million, Pensions & Investments, vol. 27, no. 9, pp. 1, 42.
Kipnis, G. M. and S. Tsang (1984), Classical theory, dividend dynamics, and stock index futures pricing, Stock Index Futures, edited by F. J. Fabozzi and G. M. Kipnis, Dow Jones-Irwin, pp. 80-98
Koski, J. L. and J. Pontiff (1999), How Are Derivatives Used? Evidence from the Mutual Fund Industry, Journal of Finance, Vol. LIV, No. 2, 791-816.
Koutmos, G. and M. Tucker (1996), Temporal relationships and dynamic interactions between spot and futures stock markets, Journal of Futures Markets, vol. 16, no. 1, pp. 55-69.
Kutner, G. W. and R. J. Sweeney (1991), Causality tests between the S&P 500 cash and futures markets, Quarterly Journal of Business and Economics, vol. 30, no. 2, pp. 51-74.
Lee, J. H. and S. C. Linn (1994), Intraday and overnight volatility of stock index and stock index futures returns, Review of Futures Markets, vol. 13, no. 1, pp. 1-38.
Lichtenstein, D. R., P. J. Kaufmann and S. Bhagat (1999), Why consumers choose managed mutual funds over index funds: Hypothesis from consumer behavior, Journal of Consumer Affairs, vol. 5, no. 33, pp. 187-205.
Lintner, J. (1983), The potential role of managed commodity — Financial futures accounts (and/or funds) in portfolios of stocks and bonds, Annual Conference of the Financial Analysts Federation, May.
Lucchetti, A. (1999), Enhanced index’ funds trail goals — Beating Benchmarks, even by tiny margins, remains very difficult, Wall Street Journal, Mar 26, C1.
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MacKinlay, A. C. and K. Ramaswamy (1988), Index-futures arbitrage and the behavior of stock index futures prices, Review of Financial Studies, vol. 4, no. 1, pp. 137-158.
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