KOSPI200 주가지수선물시장의 정보유입 형태에 관한 연구

목차 (Table of Contents)

• 요약
• I .서론
• II. 이론모형
• III. 실증분석
• IV. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

1 김인준, "주가지수선물과 주가지수의 비선형 동적 관계 분석" 한국파생상품학회 10 (10): 1-27, 2002

2 이병근, "우리나라 통화선물시장의 정보흐름에 관한 연구" 6 (6): 1-15, 2002

3 Stoll, R. H., "The dynamics of stock index and stock index futures returns" 25 : 441-468, 1990

4 Stockman, A. C., "Risk, Information, and Forward Exchange Rates. in: The Economics of Exchange Rates: Selected Studies" Addison-Wesley 159-178, 1978

5 Samuelson, P. W., "Proof that properly anticipated prices fluctuate randomly" 6 : 41-49, 1967

6 Garbade, K. D., "Price movements and price discovery in futures and cash markets" 65 : 289-297, 1983

7 Gao, A. H., "Modeling nonlinear dynamics of daily futures price changes" 19 : 325-351, 1999

8 Fujihara, R. A., "Linear dependence, nonlinear dependence and petroleum futures market efficiency" 17 : 75-99, 1997

9 이우백, "KOSPI200선물시장 성숙화에따른 가격발견의 변화 분석" 한국파생상품학회 14 (14): 52-80, 2006

10 윤종인, "KOSPI200과 KOSPI 200선물수익률변동성의 만기효과에 관한 실증연구" 한국파생상품학회 14 (14): 1-20, 2006

11 Akgiray, V., "Conditional heteroscedasticity in time series of stock returns: evidence and forecasts" 62 : 55-80, 1989

12 Fujihara, R. A., "An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets" 17 : 385-416, 1997

13 Stockman, A. C., "A Theory of Exchange Rate Determination" 88 (88): 673-698, 1980