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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85943


    Title: 兩地上市商品在交易成本下之套利—以日本政府公債期貨為例
    Authors: 黃栗屏
    Contributors: 沈中華
    王儷容
    黃栗屏
    Keywords: 門檻共整合
    日本政府公債期貨
    套利
    兩地上市商品
    Date: 1998
    Issue Date: 2016-04-22 10:20:37 (UTC+8)
    Abstract: 本文以日本政府公債期貨為研究標的，針對相同商品於兩地上市時手續費及交易機制不同所形成的交易成本，對於套利過程的影響進行研究。主要透過門檻共整合與門檻誤差修正模型，計算出一套利門檻，推導出真正可套利區間，俾使套利活動足以落實。
    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
    Description: 碩士
    國立政治大學
    金融研究所
    g86352010
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001431
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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