參考文獻
1. 李存修,"選擇權之交易實務、投資策略與評價模式",財團法人中華民國證券暨期貨市場發展基金會,民國82年8月份。
2. 吳成俊,"認購權證簡介",台灣證券交易所證交社發行證交資料,413,民國85年9月份。3. 彭美苓,"備兌型認購權證的發行對台灣現貨股票市場之影響",國立中山大學財務管理研究所碩士論文,民國86年。4. 劉溪鶴,"境外發行認購權證對證券市場影響之研究",國立台灣大學財務金融研究所碩士論文,民國86年。5. 胡世芳、史綱,"認股權證-投資與發行策略",樂觀文化事業有限公司,民國86年11月。
6. 廖咸隆,"台灣海內外認購權證發行對其股票價格影響之研究",輔仁大學管理學研究所碩士論文,民國87年。7. 謝文雄,"履約價格可調整之認購權證研究--財務工程之應用",國立政治大學國際貿易學系碩士論文,民國87年。8. 楊國輝,"台灣香港認購權證發行對股價波動性之影響",立政治大學金融所碩士論文,民國87年。9. 台証衍生金融商品月刊,民國87年2月份第三期。
10. 張真卿,"認購權證獲利百分百",台灣廣廈出版,民國87年5月。
11. 叢宏文,"日經股價指數期貨避險效果之實證研究--GARCH模型之應用",期貨暨證券管理期刊,民國87年7月份,pp.1-21。
12. 李偉仁,"重設型認購權證之簡介",宏福投顧周刊,民國87年11月份。
13. 盧幸怡,"台港地區認購權證對證券市場影響之比較研究",國立台灣大學財務金融研究所碩士論文,民國87年。14. 吳百鈞,"認購權證與標的股間價格變化因果關係探討",雲林科技大學企研所碩士論文,民國87年15. Granger,C. W. J.,1969,"Investigation Causal Relations by Econometric Model and Cross Spectral Methods," Econometrica,37,pp.428-438。
16. Hayes, S.,and Tennenbaum,M.,1979,"The Impact of Listed Options on Underlying Shares,"Financial Management,8,pp.72-76。
17. Trennepohl,G. L.,and Dukes,W.,1979,"CBOE Options and Stock Volatility,"Review of Buesiness and Economic Reaserch,18,pp.36-48。
18. Granger,C. W. J.,1980,"Testing for Causality,"Journal of Economic Dynamics and Control,2,pp.329-352。
19. Klemkosky,R.,and Maness,T. S.,1980,"The Impact of options on the Underlying Securities,"Journal of Portfolio Management,9,pp.12-18。
20. Dickey,David A.,and Wayne A. Fuller,1981,"Likelihood Ratio Statisitcs for Autoregressive Time Series with a Unit Root"Econometrica,(July):pp.1057-1072。
21. Manaster,Steven,and Richard J. Rendleman. Jr,1982,"Option Price as Predictors of Equilibrium Stock Price,"Journal of Finance,37,(September):pp.1043-1058。
22. Modst,M.,1983,"The Relationship Between Spot and Futures Prices in Stock Index Futures Markets:Some Preliminary Evidence,"Journal of Futures Market。
23. Granger,C. W. J.,1986,"Developments in the Study of Cointegration and Error-Correcting Models,"Oxford Bulletine of Economics and Statistics,48,pp.213-228。
24. Bhattacharya,Mihir,1987,"Price Changes of Related Securities:The Case of Call Option and stocks,"Journal of Financial and Quantitative Analysis,22,(March) pp.1-15。
25. Engle,Robert F. and Clive W. J. Granger.,1987,"Cointegration and Error Correction :Representation,Estimation,and Testing," Econometrica,(March):pp.251-276。
26. Anthony,Joeseph H.,1988 "The Interelation of Stock Option Market Trading-Volume Data," Journal of Finance,43,pp.949-964。
27. Brenner, M.,Subrahmanyam, M.G.,and J.Uno, 1989,"The Behavior of Prices in the Nikkei Spot and Futures Market,"Journal of Financial Economics,(August)。
28. Conrad,J.,1989:"The Price Effect of Option Introduction,"Journal of Finance,44,pp.687-689。
29. Gemmill,G.,1989,"Stock Options and Volatilityof the Underlying Shares,"Journal of International Security Markets,3,pp.15-22。
30. Skinner,D.,1989,"Option Market and Stock Return volatility",Journal of Financial Economics,23,pp.61-78。
31. Stephan,Jens A.,and Robert E. Whaley,1990,"Intraday Price Change and Trading Volume Relations in the Stock and Option Markets.",Journal of Finance,45,(March):pp.191-220。
32. Detemple,J.,and Jorion,P.,1990,"Option Introduction and Stock Returns,"Journal of Banking and Finance,14,pp.781-801。
33. Demodaran,A.,and Lim,L.,1991,"The Effect of Option Introduction on the Underlying Stocks Return Process,"Journal of Banking and Finance,15,pp.647-664。
34. Watt,W. H.,Yadav,P. K.,A.,1992,"The Impact of Option Listing on the Underlying Stock returns:The UK Evidence,"Journal of Business,Finance and Accouting,19,pp.485-503。
35. Chamberlain,T.,Cheung,C.,1993,"Options Introduction,Market liquidity and Stock Behavior:Some Canadian Evidence,"Journal of Finance,44。
36. Hagelin, N.,1995"Why Warrants? An Empirical Study on the Swedish Market."Working Paper Stockholm: Stockholm University。
37. Diltz,J..David and Suhkyong Kim,1996,"The Relationship Between Stock and Option Price Changes",The Financial Review,(August) :pp.499-519。
38. Alkeback and Hagelin,1998,"The Impacts of Options and Warrant on Underlying Stocks,"Journal of Futures Markets,18,pp.314-328。