| Reference: | 英文部分
1. Brenner,M., Subrahmanyam, M.G., Uno,J., 1989, “The Behavior of Prices in the Nikkei Spot and Futures Market” , Journal of Financial Economics, Vol 23, No. 2, p. 363-383.
2. Brenner,M., Subrahmanyam, M.G., Uno,J., 1990,“Arbitrage Opport-unities in the Japanese Stock and Futures Market”, Financial Analysts Journal, Vol 46, No.2, p. 14-24.
3. Charles Sutcliffe, 1993, “Stock Index futures: Theories and International Evidence”, Chapman and Hall.
4. Chow ying-Foon, 1998, “Regime Switching and Cointegration Tests of the Efficiency of Futures Market”, Journal of Futures Markets, 1998, Vol.18, No.8, p871-901.
5. Engle, R. F. and C. W. J. Granger, 1987, Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 1987 March, Vol. 55, p251-276.
6. Francis Breedon and Allison Holland, 1997, “Electronic versus open outcry market: The case of the bund futures contract”, Bank of England, ISSN 1368-5562.
7. Gerald P.Dwyer, Jr., Peter Locke, and Wei Yu, 1995, “Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash”, Federal Reserve Bank of Atlanta, Working Paper Series 95-17.
8. Heather M. Anderson, 1997, “Transaction Costs and Non-Linear Adjustment towards Equilibrium in The US Treasury Bill Market”, Oxford Bulletin of Economics and Statistics, Vol 59, No. 4, p465-484.
9. Hung-Gay Fung and Steven C. Isberg, 1992, “The International Transmission of Eurodollar and US Interest Rates: A Cointegration Analysis”, Journal of Banking and Finance, Vol 16, p757-769.
10. Jens Weidmann, 1997, “New Hope for The Fisher Effect? A Reexamination Using Threshold Cointegration”, University of Bonn, Sonderforschungsbereich 303 Discussion Page B-385.
11. John Board and Charles Sutcliffe, 1996, “The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage, and Currency Risk”, The Journal of Futures Market, Vol. 16, No. 1, p29-54.
12. Kian-Guan Lim, 1992, “Arbitrage and Price Behavior of the Nikkei Stock Index Futures”, The Journal of Futures Market, Vol. 12, No. 2, p151-161 .
13. Martin Martens, Paul Kofman and Ton C. F. Vorst, 1998, “A Threshold Error-Correction Model for Intraday Futures and Index Returns”, Journal of Applied Economics, Vol. 13, p245-263.
14. Maurice Obstfeld and Alan M. Taylor, 1997, “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited”, NBER Working Paper 6053, June 1997.
15. Nathan S. Balke and Thomas B. Fomby, 1997, “Threshold Co-integration”, International economic Review, Vol. 38, No. 3, August, p627-645.
16. Nathan S. Balke and Mark E. Wohar, 1997, “Nonlinear Dynamics and Covered Interest Rate Parity”, Federal Reserve Bank of Dallas, Department Working Paper 97-01.
17. Owain Ap Gwilym and Stephen Thomas, 1998, “The Influence of Electronic Trading on Bid – Ask Spreads : New Evidence from European bond Futures”, The Journal of Fixed Income, 1998, Vol.8, No.1, p7-19.
18. “Open Outcry and Screen Trading : The Trader’s View”, 1998, Futures Industry, December / January , p14-17.
19. Peter R. Locke and P. C. Venkastesh, 1997 “Futures market transaction costs”, ,Journal of Futures Markets , Vol. 17, No. 2, p 229-245.
20. Shyy, Gang and Jie-Haun Lee, 1995, “Price Transmission and Information Asymmetry in Bund Futures: LIFFE VS. DTB”, The Journal of Futures Market, Vol. 15, No. 1, p87-99 .
21. Shyy, Gang and Chung Hua Shen, 1997, “An Comparative Study on Interday Market Volatility and Intraday Price Transmission of Nikkei / JGB Futures Markets Between Japan and Singapore ”, Review of Quantitative Finance and Accounting, Vol 9, p147-163.
中文部分
1. 邱志豪, 1998, “交易成本之下海外存託憑證與普通股之間的套利-門檻共整合模型的應用”, 國立政治大學金融所碩士論文。
2. 王儷容, 1999,《期貨學原理—個體交易策略與總體政策》, 五南圖書公司, p348-352。
相關網站
1. Bonds Online網站http://www.bondsonline.com
2. JOB網站http://www.boj.or.jp/en/index.htm
3. LIFFE網站http://www.liffe.com/
4. SIMEX網站http://www.simex.com.sg/
5. TSE網站 http://www.tse.or.jp/eindex.html |
