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題名 S&P500指數期貨之錯價與交易量之非線性關係─以門檻自我迴歸分析
The Nonlinear Relation Between S&P500 Index Futures Mispricing and Volume: The Threshold Analysis作者 陳筱竹
Chen, Hsiao-Chu貢獻者 杜化宇
Tu, Anthony H.
陳筱竹
Chen, Hsiao-Chu關鍵詞 錯價
交易量
門檻自我迴歸
放空成本
mispricing
trading volume
S&P500
TAR
short selling cost日期 2003 上傳時間 18-九月-2009 19:17:37 (UTC+8) 摘要 本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程，我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨)，交易量對錯價影響為負；但若期貨錯價為負(套利策略為賣現貨買期貨)，考慮到昂貴的放空成本(costly short sell hypothesis)，交易量對錯價的影響將是較不明確的。
This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly.參考文獻 Assogbavi, T., Khoury, N., and Yourougou, P., (1995), Short Interest and the Asymmetry of the Price-volume Relationship in the Canadian Stock Market, Journal of Banking & Finance, Vol. 19, 1341-1358.
Bhatt, S., and Cakici, N. (1990), Premiums on Stock Index Futures─Some Evidence, The Journal of Finance Markets, Vol. 10, 367-375.
Brennan, M. J., and Schwartz, E. S., (1990), Arbitrage in Stock Index Futures, Journal of Business, Vol. 63, S7-S31.
Buehler, W., and Kempf, A., (1995), DAX Index Futures: Mispricing and Arbitrage in German Markets, The Journal of Futures Market, Vol. 15, 833-859.
Coakley, J., and Fuertes. A. M., (2001), Exchange rate overshooting and the forward premium puzzle, working paper
Coakley, J., and Fuertes. A. M., (2002), Asymmetric Dynamics in UK Real Interest Rates, Applied Financial Economics, Vol. 12, 379-387.
Caner, M., and Hansen, B. E., (2001), Threshold Autoregression with a Unit Root, Econometrica, Vol. 69, No. 6, 1555-1596.
Chang, C. C., (2003) The Dynamic Process of Basis Change of the Stock Index Futures Traded in the TAIFEX and SGX: Using Smoothing Transition Autoregressive Model (STAR), Business Administration Degree Thesis.
Chung, Y.P., (1991), A transactions data test of stock index futures market efficiency and index arbitrage profitability, Journal of Finance, Vol. 46, No. 5, 1791-1809.
Cornell, B., and French, K., (1983), Taxes And the Pricing of Stock Index Futures, Journal of Finance, Vol. 38, No. 2, 675-694
Dwyer, G. P., Locke, P., and Yu, W., (1996), Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash, The Review of Financial Studies, Vol. 9, No. 1, 301-332.
Enders, W., and Granger, C. W. J., (1998), Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates, Journal of Business & Economic Statistics, Vol. 16, No. 3, 304-311.
Enders, W., (1996), RATS Handbook for Econometric Time Series, John Wiley & Sons, Inc.
Enders, W., (2004), Applied Econometric Time Series, 2nd edition, John Wiley & Sons, Inc.
Enders, W., (2003), RATS Programming Manual, Distributed by Estima.
Figlewsik, S., (1981), The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence, Journal of Financila and Quantitative Analysis, Vol. 26, 463-475.
Fung, J. K. W., Draper, P., (1999), Mispricing of Index Futures Contracts and Short Sales Constraints, The Journal of Futures Markets, Vol. 19, No. 6, 695-715.
Gruenbichler, A., and Callahan, T. W. (1994), Stock Index Futures Arbitrage in Germany: The Behavior of the DAX Index Futures Price, Review of Futures Markets, Vol. 10, 180-203.
Grunbichler, A., Longstaff, F. A., and Schwartz, E.S., (1994), Electronic screen trading and the transmission of information: an empirical examination, Journal of Financial Intermediation 3, 166-187.
Garbade, K. D. and Silber, W. L., (1983), Price movements and price discovery in futures and cash markets, Review of Economics and Statistics 65, 289-297.
Hull, J., Options, futures and other derivatives, 5th edition, Prentice Hall, Inc., 60-63.
Jennings, R. H., Starks, L. T., and Fellingham, J. C., (1981), An Equilibrium Model of Asset Trading with Sequential Information Arrival, Journal of Finance, Vol. 26, 143-161.
Jiang, L. Fung, J. K. W., and Cheng, L. T. W., (2001), The Lead-Lag Relation Between Spot and Futures Markets Under Different Short-Selling Regimes, The Financial Review, Vol. 38, 63-88.
Karpoff, J. M., (1987), The Relation between Price Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis, Vol. 22, 109-126.
Karpoff, J. M., (1988), Costly Short Sales and the Correlation of Returns with Volume, The Journal of Financial Research, Vol. 51, 173-188.
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, Journal of Finance, Vol. 42, No. 5, 1309-1329.
Kempf, A., (1998), Short Selling, Unwinding, and Mispricing, The Journal of Futures Markets, Vol. 18, No. 8, 903-923.
Klemkosky, R. C. and Lee, J. H. (1991), Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices, Journal of Futures Markets, Vol. 11, 291-311.
Lim, K. G., (1992), Arbitrage and Price Behavior of the Nikkei Stock Index Future, The Journal of Futures Markets, Vol. 12, No. 5, 137-158.
Long, D. M., and Officer, D. T., (1997), The Relation between Option Mispricing and Volume in the Black-Scholes Option Model, The Journal of Financial Research, Vol. 20, No. 1, 1-12.
MacKinlay, A. C., and Ramaswamy, K., (1988), Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices, The Review of Financial Studies, Vol. 1, No. 2 (Summer), 137-158.
Martin, M., Kofman, P., and Vorst, T. C. F., (1998), A Threshold Error-Correction Model for Intraday Futures and Index Returns, Journal of Applied Econometrics, Vol. 13, No. 3, 245-263.
Miller, M. H., Muthuswamy, J., and Whaley, R. E. (1994), Mean-Reversion of Standard & Poor’s 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?, The Journal of Finance, Vol. 49, No. 2,479-513.
Michael, P., Nobay, A. R., and Peel, D. A., (1997), Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation, Journal of Political Economy, Vol. 105, No. 4, 862-879.
Monoyios, M. and Sarno, L., (2002), Mean Reversion in Stock Index Futures Markets: A Nonlinear Analysis, The Journal of Futures Markets, Vol. 22, No. 4, 285-314.
Neal, R., (1996), Direct Tests of Index Arbitrage Models, Journal of Financial and Quantitative Analysis, Vol. 31, No. 4, 541-562.
Niemeyer, J., (1994), An analysis of the lead-lag relation between the OMX index forward and the OMX cash index, Paper presented to the Seventh Annual European Futures Symposium, Bonn.
Pindyck, R. S., and Rubinfeld, D. L. (1997), Econometric Models and Economic Forecasts, 4th edition, McGRAW-HILL.
Pope, P. F., and Yadav, P. K. (1994), The Impact of Short Sales Constraints on Stock Index Futures Prices: Evidence from FT-SE 100 Futures, Journal of Derivatives, (Summer), 15-26.
Puttonen, V., (1993), Short Sales Restrictions and the Temporal Relationship between Stock Index Cash and Derivatives Markets, The Journal of Futures Markets, Vol. 13, No. 6, 645-664.
Saunders, E. M., and Mahaian, J. A., (1988), An Empirical Examination of Composite Stock Index Futures Pricing, The Journal of Futures Markets, Vol. 8, No. 2, 211-228.
Schleifer, A. (2000), Inefficient Market: an Introduction to Behavioral Finance, Oxford: Oxford University Press.
Sofianos, G. (1993), Index Arbitrage Profitability, The Journal of Derivatives, 6-20.
Smirlock, M., and Starks, L., (1985), Day of the Week and Intraday Effect in Stock Returns, Journal of Financial Economics, Vol. 17.
Strickland, C., and Xu, X. (1993), Behaviour of the FTSE 100 Basis, Review of Futures Markets, Vol. 12, 459-502.
Stoll, H. R., and Whaley, (1990), The Dynamics of Stock Index and Stock Index Futures Returns, Journal of Financial and Quantitative Analysis, Vol. 25, 441-468.
Stulz, R. M., Wasserfallen, W., and Stucki, T. (1990), Stock Index Futures in Switzerland: Pricing and Hedging Performance, Review of Futures Markets, Vol. 9, 577-592.
Sutcliffe, C. M. S., (1997), Stock Index Futures: Theories and International Evidence, 2nd edition, International Thomson Business Press.
Twite, G. J., (1998), The Pricing of Australiand Index Futures Contracts with Taxes and Transaction Costs, Australian Journal of Management, Vol. 23, No. 1, 57-81.
Yadav, P. K., and Pope, P. F., (1994), Stock Index Futures Mispricing: Profit Opportunities or Risk Premia? Journal of Banking and Finance, Vol. 18, 921-953.描述 碩士
國立政治大學
財務管理研究所
91357007
92資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091357007 資料類型 thesis dc.contributor.advisor 杜化宇 zh_TW dc.contributor.advisor Tu, Anthony H. en_US dc.contributor.author (作者) 陳筱竹 zh_TW dc.contributor.author (作者) Chen, Hsiao-Chu en_US dc.creator (作者) 陳筱竹 zh_TW dc.creator (作者) Chen, Hsiao-Chu en_US dc.date (日期) 2003 en_US dc.date.accessioned 18-九月-2009 19:17:37 (UTC+8) - dc.date.available 18-九月-2009 19:17:37 (UTC+8) - dc.date.issued (上傳時間) 18-九月-2009 19:17:37 (UTC+8) - dc.identifier (其他 識別碼) G0091357007 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36686 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 91357007 zh_TW dc.description (描述) 92 zh_TW dc.description.abstract (摘要) 本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程，我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨)，交易量對錯價影響為負；但若期貨錯價為負(套利策略為賣現貨買期貨)，考慮到昂貴的放空成本(costly short sell hypothesis)，交易量對錯價的影響將是較不明確的。 zh_TW dc.description.abstract (摘要) This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly. en_US dc.description.tableofcontents ABSTRACT 3 CHAPTER 1. INTRODUCTION 4 CHAPTER 2. LITERATURE REVIEW 7 2.1 FUTURES PRICES AND THE EXPECTED FUTURE SPOT PRICE 7 2.2. LEAD-LAG RELATION 8 2.3. MISPRICING ERROR 9 2.4 SYMMETRY VERSUS ASYMMETRY OF BASIS PROCESS 10 2.5 MARKET IMPERFERCTIONESS WHICH AFFECTS THE FUTURES PRICING 11 2.5.1 TRANSACTION COST 11 2.5.2. SHORT SELLING RESTRICTION 14 2.5.3. OTHER FACTORS 16 2.6 THE RELATIONSHIP BETWEEN FUTURES MISPRICING AND VOLUME 17 CHAPTER 3. RESEARCH MODEL 18 3.1 UNIT ROOT TESTS 18 3.2 UNIT ROOT TEST WITH THRESHOLD AUTOREGRESSIVE (TAR) MODEL 20 I). HIGHER-ORDER PROCESSES: 21 II). ALTERNATIVE ADJUSTMENT SPECIFICATIONS 21 3.3 BASIS AS THE INDICATOR FUNCTION 23 3.4 THE HYPOTHESES 24 3.5 GRANGER CAUSALITY 26 3.5.1. APPROPRIATE LAGS 26 3.5.2. GRANGER CAUSALITY TEST 27 3.6 VECTOR AUTOREGRESSION (VAR) 28 CHAPTER 4. DATA AND EMPIRICAL RESULTS 29 4.1 DATA 29 4.1.1 SAMPLE PERIOD AND FREQUENCY 29 4.2 PRELIMINARY STATISTICS 29 4.3 AUGMENTED DICKEY-FULLER TEST 30 4.4 TAR MODEL 33 4.5 COMPARE THE MODELS 36 4.6 GRANGER CAUSALITY TEST 37 4.7 REGRESSION ANALYSIS 40 CHAPTER 5. CONCLUSION 42 APPENDIX A 44 REFERENCE 45 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091357007 en_US dc.subject (關鍵詞) 錯價 zh_TW dc.subject (關鍵詞) 交易量 zh_TW dc.subject (關鍵詞) 門檻自我迴歸 zh_TW dc.subject (關鍵詞) 放空成本 zh_TW dc.subject (關鍵詞) mispricing en_US dc.subject (關鍵詞) trading volume en_US dc.subject (關鍵詞) S&P500 en_US dc.subject (關鍵詞) TAR en_US dc.subject (關鍵詞) short selling cost en_US dc.title (題名) S&P500指數期貨之錯價與交易量之非線性關係─以門檻自我迴歸分析 zh_TW dc.title (題名) The Nonlinear Relation Between S&P500 Index Futures Mispricing and Volume: The Threshold Analysis en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Assogbavi, T., Khoury, N., and Yourougou, P., (1995), Short Interest and the Asymmetry of the Price-volume Relationship in the Canadian Stock Market, Journal of Banking & Finance, Vol. 19, 1341-1358. zh_TW dc.relation.reference (參考文獻) Bhatt, S., and Cakici, N. (1990), Premiums on Stock Index Futures─Some Evidence, The Journal of Finance Markets, Vol. 10, 367-375. zh_TW dc.relation.reference (參考文獻) Brennan, M. J., and Schwartz, E. S., (1990), Arbitrage in Stock Index Futures, Journal of Business, Vol. 63, S7-S31. zh_TW dc.relation.reference (參考文獻) Buehler, W., and Kempf, A., (1995), DAX Index Futures: Mispricing and Arbitrage in German Markets, The Journal of Futures Market, Vol. 15, 833-859. zh_TW dc.relation.reference (參考文獻) Coakley, J., and Fuertes. A. M., (2001), Exchange rate overshooting and the forward premium puzzle, working paper zh_TW dc.relation.reference (參考文獻) Coakley, J., and Fuertes. A. M., (2002), Asymmetric Dynamics in UK Real Interest Rates, Applied Financial Economics, Vol. 12, 379-387. zh_TW dc.relation.reference (參考文獻) Caner, M., and Hansen, B. E., (2001), Threshold Autoregression with a Unit Root, Econometrica, Vol. 69, No. 6, 1555-1596. zh_TW dc.relation.reference (參考文獻) Chang, C. C., (2003) The Dynamic Process of Basis Change of the Stock Index Futures Traded in the TAIFEX and SGX: Using Smoothing Transition Autoregressive Model (STAR), Business Administration Degree Thesis. zh_TW dc.relation.reference (參考文獻) Chung, Y.P., (1991), A transactions data test of stock index futures market efficiency and index arbitrage profitability, Journal of Finance, Vol. 46, No. 5, 1791-1809. zh_TW dc.relation.reference (參考文獻) Cornell, B., and French, K., (1983), Taxes And the Pricing of Stock Index Futures, Journal of Finance, Vol. 38, No. 2, 675-694 zh_TW dc.relation.reference (參考文獻) Dwyer, G. P., Locke, P., and Yu, W., (1996), Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash, The Review of Financial Studies, Vol. 9, No. 1, 301-332. zh_TW dc.relation.reference (參考文獻) Enders, W., and Granger, C. W. J., (1998), Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates, Journal of Business & Economic Statistics, Vol. 16, No. 3, 304-311. zh_TW dc.relation.reference (參考文獻) Enders, W., (1996), RATS Handbook for Econometric Time Series, John Wiley & Sons, Inc. zh_TW dc.relation.reference (參考文獻) Enders, W., (2004), Applied Econometric Time Series, 2nd edition, John Wiley & Sons, Inc. zh_TW dc.relation.reference (參考文獻) Enders, W., (2003), RATS Programming Manual, Distributed by Estima. zh_TW dc.relation.reference (參考文獻) Figlewsik, S., (1981), The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence, Journal of Financila and Quantitative Analysis, Vol. 26, 463-475. zh_TW dc.relation.reference (參考文獻) Fung, J. K. W., Draper, P., (1999), Mispricing of Index Futures Contracts and Short Sales Constraints, The Journal of Futures Markets, Vol. 19, No. 6, 695-715. zh_TW dc.relation.reference (參考文獻) Gruenbichler, A., and Callahan, T. W. (1994), Stock Index Futures Arbitrage in Germany: The Behavior of the DAX Index Futures Price, Review of Futures Markets, Vol. 10, 180-203. zh_TW dc.relation.reference (參考文獻) Grunbichler, A., Longstaff, F. A., and Schwartz, E.S., (1994), Electronic screen trading and the transmission of information: an empirical examination, Journal of Financial Intermediation 3, 166-187. zh_TW dc.relation.reference (參考文獻) Garbade, K. D. and Silber, W. L., (1983), Price movements and price discovery in futures and cash markets, Review of Economics and Statistics 65, 289-297. zh_TW dc.relation.reference (參考文獻) Hull, J., Options, futures and other derivatives, 5th edition, Prentice Hall, Inc., 60-63. zh_TW dc.relation.reference (參考文獻) Jennings, R. H., Starks, L. T., and Fellingham, J. C., (1981), An Equilibrium Model of Asset Trading with Sequential Information Arrival, Journal of Finance, Vol. 26, 143-161. zh_TW dc.relation.reference (參考文獻) Jiang, L. Fung, J. K. W., and Cheng, L. T. W., (2001), The Lead-Lag Relation Between Spot and Futures Markets Under Different Short-Selling Regimes, The Financial Review, Vol. 38, 63-88. zh_TW dc.relation.reference (參考文獻) Karpoff, J. M., (1987), The Relation between Price Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis, Vol. 22, 109-126. zh_TW dc.relation.reference (參考文獻) Karpoff, J. M., (1988), Costly Short Sales and the Correlation of Returns with Volume, The Journal of Financial Research, Vol. 51, 173-188. zh_TW dc.relation.reference (參考文獻) 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, Journal of Finance, Vol. 42, No. 5, 1309-1329. zh_TW dc.relation.reference (參考文獻) Kempf, A., (1998), Short Selling, Unwinding, and Mispricing, The Journal of Futures Markets, Vol. 18, No. 8, 903-923. zh_TW dc.relation.reference (參考文獻) Klemkosky, R. C. and Lee, J. H. (1991), Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices, Journal of Futures Markets, Vol. 11, 291-311. zh_TW dc.relation.reference (參考文獻) Lim, K. G., (1992), Arbitrage and Price Behavior of the Nikkei Stock Index Future, The Journal of Futures Markets, Vol. 12, No. 5, 137-158. zh_TW dc.relation.reference (參考文獻) Long, D. M., and Officer, D. T., (1997), The Relation between Option Mispricing and Volume in the Black-Scholes Option Model, The Journal of Financial Research, Vol. 20, No. 1, 1-12. zh_TW dc.relation.reference (參考文獻) MacKinlay, A. C., and Ramaswamy, K., (1988), Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices, The Review of Financial Studies, Vol. 1, No. 2 (Summer), 137-158. zh_TW dc.relation.reference (參考文獻) Martin, M., Kofman, P., and Vorst, T. C. F., (1998), A Threshold Error-Correction Model for Intraday Futures and Index Returns, Journal of Applied Econometrics, Vol. 13, No. 3, 245-263. zh_TW dc.relation.reference (參考文獻) Miller, M. H., Muthuswamy, J., and Whaley, R. E. (1994), Mean-Reversion of Standard & Poor’s 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?, The Journal of Finance, Vol. 49, No. 2,479-513. zh_TW dc.relation.reference (參考文獻) Michael, P., Nobay, A. R., and Peel, D. A., (1997), Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation, Journal of Political Economy, Vol. 105, No. 4, 862-879. zh_TW dc.relation.reference (參考文獻) Monoyios, M. and Sarno, L., (2002), Mean Reversion in Stock Index Futures Markets: A Nonlinear Analysis, The Journal of Futures Markets, Vol. 22, No. 4, 285-314. zh_TW dc.relation.reference (參考文獻) Neal, R., (1996), Direct Tests of Index Arbitrage Models, Journal of Financial and Quantitative Analysis, Vol. 31, No. 4, 541-562. zh_TW dc.relation.reference (參考文獻) Niemeyer, J., (1994), An analysis of the lead-lag relation between the OMX index forward and the OMX cash index, Paper presented to the Seventh Annual European Futures Symposium, Bonn. zh_TW dc.relation.reference (參考文獻) Pindyck, R. S., and Rubinfeld, D. L. (1997), Econometric Models and Economic Forecasts, 4th edition, McGRAW-HILL. zh_TW dc.relation.reference (參考文獻) Pope, P. F., and Yadav, P. K. (1994), The Impact of Short Sales Constraints on Stock Index Futures Prices: Evidence from FT-SE 100 Futures, Journal of Derivatives, (Summer), 15-26. zh_TW dc.relation.reference (參考文獻) Puttonen, V., (1993), Short Sales Restrictions and the Temporal Relationship between Stock Index Cash and Derivatives Markets, The Journal of Futures Markets, Vol. 13, No. 6, 645-664. zh_TW dc.relation.reference (參考文獻) Saunders, E. M., and Mahaian, J. A., (1988), An Empirical Examination of Composite Stock Index Futures Pricing, The Journal of Futures Markets, Vol. 8, No. 2, 211-228. zh_TW dc.relation.reference (參考文獻) Schleifer, A. (2000), Inefficient Market: an Introduction to Behavioral Finance, Oxford: Oxford University Press. zh_TW dc.relation.reference (參考文獻) Sofianos, G. (1993), Index Arbitrage Profitability, The Journal of Derivatives, 6-20. zh_TW dc.relation.reference (參考文獻) Smirlock, M., and Starks, L., (1985), Day of the Week and Intraday Effect in Stock Returns, Journal of Financial Economics, Vol. 17. zh_TW dc.relation.reference (參考文獻) Strickland, C., and Xu, X. (1993), Behaviour of the FTSE 100 Basis, Review of Futures Markets, Vol. 12, 459-502. zh_TW dc.relation.reference (參考文獻) Stoll, H. R., and Whaley, (1990), The Dynamics of Stock Index and Stock Index Futures Returns, Journal of Financial and Quantitative Analysis, Vol. 25, 441-468. zh_TW dc.relation.reference (參考文獻) Stulz, R. M., Wasserfallen, W., and Stucki, T. (1990), Stock Index Futures in Switzerland: Pricing and Hedging Performance, Review of Futures Markets, Vol. 9, 577-592. zh_TW dc.relation.reference (參考文獻) Sutcliffe, C. M. S., (1997), Stock Index Futures: Theories and International Evidence, 2nd edition, International Thomson Business Press. zh_TW dc.relation.reference (參考文獻) Twite, G. J., (1998), The Pricing of Australiand Index Futures Contracts with Taxes and Transaction Costs, Australian Journal of Management, Vol. 23, No. 1, 57-81. zh_TW dc.relation.reference (參考文獻) Yadav, P. K., and Pope, P. F., (1994), Stock Index Futures Mispricing: Profit Opportunities or Risk Premia? Journal of Banking and Finance, Vol. 18, 921-953. zh_TW
