參考文獻
中文部分
1.王凱蒂(2000),「台股指數期貨價格發現之探討」,政治大學財務管理研究所未出版碩士論文。2.卓必靖(2004),「台指選擇權VIX指數基礎制避險績效之研究」,銘傳大學財務金融研究所未出版碩士論文。3.施義展(2004),「台灣股價指數期貨、現貨與選擇權市場領先落後關係之探討」,高雄第一科技大學財務管理所未出版碩士論文。4.梁馥華(2002),「以隱含波動價差探討指數選擇權市場與現貨市場的領先落後關係」,國防管理學院國防財務資源研究所未出版碩士論文。5.盧嘉鈺(2002),「台指選擇權隱含波動率指標之資訊內涵」,台灣大學商學研究所未出版碩士論文。
6.沈中華、陳建福(2001),「股市干擾大小及方向對其傳導效果有影響嗎?—以美國股市與亞洲股市的互動為例」,台灣財務金融學會2001年會。
7.林建宇(2004),「匯率與股價不對秤因果關係之實證研究:以台灣為例」國立東華大學國際經濟研究所未出版碩士論文。8.柯政宏(2004),「CBOE新編VIX指數於台指選擇權及實現波動度預測上的應用」,銘傳大學財務管理研究所未出版碩士論文。9.胡僑芸(2003),「臺指選擇權VIX 指數之編制與交易策略分析」,中山大學財務管理研究所未出版碩士論文。10.彭正修(2004),「台灣指數選擇權隱含波動度與大盤指數關聯之探討」,,銘傳大學財務管理研究所未出版碩士論文。11.余尚武、王孩?1999),「日經股價指數期貨與現貨市場之評價、關聯及避險」,管理評論,第十八卷,第二期,頁1-33。
12.陳建福(2002),「門檻迴歸模型與追蹤資料共整合方法在財務的應用」,國立政治大學經濟學系未出版博士論文。13.楊淑芬(2003),「股價指數衍生性金融商品與現貨之動態關係之研究」,真理大學管理科學研究所未出版碩士論文。英文部分
1.Aboura, Sofiane, and Villa, Christophe (2003), “International Market Volatility Indexed-A study on VIX, VDAX, and VIX,” working paper.
2.Anthony, J.H., (1988), “The interrelation of stock and options market trading- volume data”, Journal of Finance, Vol.43, pp.949-964.
3.Balke, N. S. and T. B. Fomby (1997), “Threshold Cointegration,” International Economic Review, Vol.38, No.3, pp.627-645.
4.Bhattacharya, M., (1987), “Price changes of related securities: The case of call options and stocks”, Journal of Financial and Quantitative Analysis, Vol.22, pp.1-15.
5.Caner, M., and Hansen, B. E. (2001), “Threshold Autoregression with a Unit Root,” Journal of Econometrics, Vol. 69, No. 6, pp.1555-1596.
6.Chan, K. Y., P. Chung, and H. Johnson (1993), “Why Option Price Lag Stock Prices: A Trading-Based Explanation”, Journal of Finance, Vol.48, pp.1957-1967.
7.Chan, K. Y., P. Chung, and W. M. Fong (2002), “The Informational Role of Stock and Option Volume,” Review of Financial Studies, Vol.15, pp.1049-1075.
8.Cherian, J.A., and W.Y. Weng, (1999), “An empirical Analysis of Directional and Volatility Trading in Options Markets”, Journal of Derivatives, Vol.7, pp.53-65.
9.Copeland, M. and T. Copeland (1999), “Market Timing: Style and Size Rotation Using the VIX,” Financial Analysts Journal, Vol.55, pp.73-81.
10.Easley,D.,and M. O Hara, and P. S. Srinivas (1998), “Option Volume and Stock Prices:Evidence on Where Informed Trade,” Journal of Finance, Vol.53, pp.431-465.
11.Engle, R. F. and Granger, C. W. J.(1987), “Co-integration and an Error Correction: representation, estimation and testing,” Econometrics, Vol.55, pp.251-276.
12.Hansen, Bruce E., and Byeongseon Seo (2002), “Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models,” Journal of Econometrics, Vol.110, pp.293-318.
13.Hatch,B.C., (2003), “The intraday relation between NYSE and CBOE prices,” Journal of Financial Research, Vol.26, pp.97-113.
14.Low, Cheekiat, (2000), “The fear and Exuberance from implied volatility of S&P100 Index Options”, working paper.
15.Larry Connors, (1999), “A volatile idea,” Futures, July, pp.36.
16.Larry Connors, (1999), “Extreme Volatility Trading,” Futures, August, pp.38.
17.Larry Connors, (2002), “Timing your S&P trades with VIX,” Futures, June, pp.46.
18.Manaster, S. and R.J. Rendleman, (1982), “Option prices as Predictors of Equilibrium Stock Prices”, Journal of Finance, Vol.37, pp.1043-1057.
19.Martens, M., P. Kofman and T.C. Vorst (1988), “A Threshold Error Correction Model for Intraday Futures and Index Returns,” Journal of Applied Econometrics, Vol.13, pp.245-263.
20.O’Connor, M. L., (1999), “The Cross-Sectional Relationship between Trading Cost and Lead/Lag Effects in Stock and Option Markets”, The Financial Review, Vol.34, pp.95-117.
21.Simon D., and R. Wiggins (2001), “S&P Futures and Contrary Sentiment Indicators,” Journal of Futures Market, Vol.21, No.5, pp.447-462.
22.Stephan, J.A., and R.E. Whaley (1990), “Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets”, Journal of Finance, Vol.45, pp.191-220.
23.Traub, Heydon, Luis Ferreira, Maria Mcardle, and Mauro Antognelli (2000) (spring), “Fear and Greed in global asset allocation”, The Journal of Investing, pp.27-31.
24.Whaley, Robert E.(2000), “The Investor Fear Gauge”, The Journal of Portfolio Management, pp.12-17.
25.Abhyankar, A. H., (1995), “Return and Volatility Dynamics in the FTSE100 Stock Index and Stock Index Futures Markets, ”The Journal of Futures Markets, Vol. 15, No. 4, pp.457-488.
26.Brooks, C. and I. Garrett (2002), “Can We Explain the Dynamics of the UK FTSE100 Stock and Stock Index Futures Markets?” Applied Financial Economics, Vol.12, pp.25-31.
27.Dickey, D. and W. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol.74, pp.427-431.
28.Engle, R. F. and B. S. Yoo (1987), Forecasting and testing in cointegrated system, Journal of Econometrics, Vol.35, pp.143-159.
29.Engle, R. F. and C. W. J. Granger (1987), “Cointegration and Error Correction: Representation, Estimation, and Testing,” Econometrics, Vol.55, pp.251-276.
30.Enders, W. and P.L. Siklos (2001), ``Cointegration and threshold adjustment,'' Journal of Business and Economic Statistics, Vol.29, No.2, pp.166-176.
31.Hansen, B. E. (1996), “Inference when a nuisance parameter is not identified under the null hypothesis”, Econometric, Vol.64, No.2, pp.413-430.
32.Johansen, S.(1988), “Statistical Analysis of Cointegration Vector,” Journal of Economics Dynamics and Control, Vol.12, pp.231-254.
33.Johansen, S. and K. Juselius (1990), “Maximum likelihood estimation and inference on cointegration with applications to the demand for money.” Oxford Bulletin of Economics and Statistics, Vol.52, pp.169-210.
34.Sims, C. A. (1980), “Macroeconomics and Reality.” Journal of Econometrics, Vol.48, pp.1-49.
35.Stoll, H. R. and R. E. Whaley, (1990)”The Dynamic of Stock Index and Stock Futures Return,” The Journal of Financial and Quantitative Analysis, Vol.25, No.4, pp.441-468.
36.Tong, H. (1978), On a Threshold Model, in C.H. Chen(ed.), “Pattern Recognition and Signal Processing.”, Amsterdan: Sijthoff & Noordhoff, pp.101-141.