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參考文獻==================第一部份：中文參考文獻（按筆劃順序排列）徐子華：(1999)，「TAIMEX 台股指數期貨之正(逆)價差與套利探討」，成功大學大學企業管理學系碩士論文.陳其緯：(1997)，「台股指數期貨套利之實証研究」，台灣大學商學系碩士論文.陳啟斌：(1999),「台灣加權指數期貨之套利實証」,台灣大學國際企業學研究所論文.許順發：(1999)，「台股指期貨套利策略之實証研究一以TAIFEX 為例」,大葉大學事業經營研究所碩士論文.楊智元：(1996),「台灣指數型基金之組成方式與績效評估」,台灣大學財務金融研究所碩士論文.范嘉峰：(1999)，「台灣加權股價指數期貨之定價與套利模型之實証分析」，東吳大學國際企管研究所碩士論.翁許細：(1994)，「指數基金特性與設計方式之研究一以台灣為例」，台灣大學財務金融研究所碩士論文.彭志弘：(1999)，「台灣股價指數期貨套利之相關研究」， 政治大學金融學研究所碩士論文.第二部份：英文參考文獻1. Andrews, C,D.Ford and K. Mallison, 1986, The Design of Index Funds andAlternative Methods of Replication, The Investment Analysis, Oct. 16-232. Brenner, Menachem, Marti G. Subrahmanyam, and Jun Uno, 1990, ArbitrageOpportunities in the Japanese Stock and Futures Markets, Financial AnalysisJournal, March-April, 14-243. Cornell, Bradford and Kenneth R. French, 1983, The Pricing of Stock IndexFutures, The Journal of Futures Markets 3, 1-14.4. Figlewski, Stephen, 1984, Explaining the early Discounts on Stock IndexFutures: The Case for Des-equilibrium, financial Analysis Journal,July-August.5. Klemkosky, Robert C. and Jae Ha Lee, 1991, The Intra-day Ex Post and ExAnte Profitability of Index Arbitrage The Journal of Futures Markets.6. Mackinlay, Craig and Krishna Ramaswamy, 1988, Index-Futures Arbitrageand the Behavior of stock Index Futures Prices, The Review of FinancialStudies.7. Meade, N. and G.R.Salkin, 1989, Index Funds-Construction and PerformanceMeasurement, Journal of Operational Research.8. Merrick, J.J. 1987, Volume determination in stock and stock index futuresmarkets: an analysis of arbitrage and volatility effects, Journal of FuturesMarket, Vol.7.9. Neal, R. 1995, Direct tests of index arbitrage models, Research workingpaper, Federal Reserve Bank of Kansas City, RWP 95-03.10. Rudd,A.1980, Optimal Selection of Passive Portfolios, FinancialManagement, Spring, 57-66.
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