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    題名: 期貨市場特性與避險策略之研究-國際金融期貨之實證分析
    作者: 鄭適薰
    貢獻者: 許振明
    鄭適薰
    日期: 1990
    1989
    上傳時間: 2016-05-03 14:12:42 (UTC+8)
    參考文獻: 參考文獻
    一、英文部份
    1.Alexander,S.A. "Price Movement in Speculative Market Industrial Management Review
    5,Spring,1964, pp.25-46.
    2.Anderson.R.W ., and Danthine,J.P. "Cross Hedging".Journal of Political Economy.December 1981.pp.1181-1196.
    3.Chang.Jack.S.K.,and Shanker,L. "Hedging Effectiveness of Currency Options and Currency Futures". Journa1 of Futures Markets. Vo1.6,No.2.1986.pp289-305.
    4.Cheung.C.S.,and Yip.P.C.K. "The Hedging Effectiveness of Options and Futures A MEAN-Gini Approach",Journal of Futures Markets.Vol.10,No.l.1990.pp.61-73.
    5.Dickey .David A. and Wayne.A.Fuller "likely-hood ratio statistics for Autoregressive time series with a unit root ",Journal of American Statistical Association .1981.No,366.
    6. Duffie,Darrell "Futures Markets ". Prentice Hall ,New Jersey. 1989.
    7.Ederingon.L.H. "The heding Per:formance of the New Futures Markets",Journal of Finance.Vol.36,No.1.March 1979.pp.157-170.
    8. Fama. E. F. "The Behavior- of Stock-Market Price".Journal of Business,Jan.1965,pp.34-122.
    9.Fama,E.F.,and Blum.M.E. "Filter Rules and Market Trading" Journal o:f Business .Jan.
    1966 .PP.225-241
    10.Figlewski.s. "Hedging with Stock Index Futures :Theory and Application in a New Market" Journal o:f Futures Markets .Vol.5 ,No.2 1985 .pp.183-191
    11.----------- "Hedging Performance and Basis Risk in Stock Index Futures", Journa1 of
    Finance ,July ,1984 .PP.557-5691.Frankel,C.T. :The Hedging Performance o:f the New
    Futures Markets:Comment` .Journal of Finance,Dec.1980 .PP.1273-1279.
    12.Frankle .C.T."The Hedging Performance of the New Futures Markets: Comment" Journa1 of Finance.Dec.1980,pp.1273-1279.
    13.Grabbe,.J. Orlin "International Financial Market",Elserier,New York ,1986.
    14. Grammatikos , T. and Saunders, A. "Stability and the Hedging Performance of Forigen
    Currency Futures,"journal of Futures Markets No.3.1983.pp.295-305.
    15.Hammer,.Jerry.A."Hedging and Risk Aversion in the Foreign Currency Market",Journal
    of Futures Markets.No.6.1988.pp.657-686.
    16.Hill,.J. and Scheeweis T."A Note on the Hedging Effectiveness of Foreign Currency Futures".Journal of Futures Market.No.4.1981.pp.659-664.
    17.Houthakker.H.S."Systematic and Random Elements in Short Term Price Movements".American Economic Review 51.1961.pp.164-172.
    18.Junkus ,.J.C and Lee,C.F."Use of Three Stock Index Futures in Hedging Decisions" , Journal of Futures Markets.No.2.1985.pp.201-222.
    19.Kolb. Robert "Understanding Futures Markets",Second Edition.Scott Foresman and Company, Illinois .1988.
    20. Leuthold, R . M. "Random Walk and Price Trends: The Live Cattle Futures Markets", Journal of Finance.Autumn.1972.pp.879-889.
    21.Levi.Maurice-International Finance".McGraw-Hill Inc .New York.1983.
    22.Lypny.C.J.-Hedging Foreign Exchange Risk with Currency Futures: Portfolio Effects", Journal of Futures Markets .No.6.pp.703-713.
    23.Mammer.H.S.-Portfolio Model Hedging with Canadian Dollar Futures :A Framwork for
    Analysis-.Journal of Futures Markets.No.1.1986.pp.83-92.
    24. Overdahl, J . A. and Star leaf , D. R. "The Hedging Performance of the CD Futures Market" Journal of Futures Markets.No.1.1986.pp.71-81.
    25.Sauders.A.and Sienkiewicz.S."The Hedging Performance of ECU Futures Contracts" Journal of futures Markets.No.3.1988.pp.335-352.
    26.Scholes .M.S."The Economics of Hedging and Sprending in Futures Markets".Journal of Futures Markets.No.2.1981.
    27.Solnik .Brnuo"International Investment".Addison-Wesley Publishing Co., Massachusetts ,1988.
    28.Stevenson .R.A. and Bear.R.M."Commodity Futures Trends or Random Walks" Industrial Management Review .May 1970.pp.65-81.
    29.Toevs,A.L. and Jacob ,D.P. "Futures and Alternative hedge ratio methodologies" Journal of Portfolio Management,Spring 1986,pp.60-70.
    30. Veit, E. T. and Reiff ,W. W. "The Efficiency of Hedging with Financial Futures:A Historical Persoective",Journal of Futures Market.No.3,1982,pp.243-254.

    二、中文部份
    徐恭忠，「穿透法則的投資測試分析」，證交資料188期，PP.2-10。
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002005351
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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