[1] |
John K,Koticha A,Subrahmanyam M. The micro-structure of options markets:informed trading,liquidity,volatility and efficiency[D]. Working Paper,New York University,1991. |
[2] |
Edwards F. Does futures trading increase stock market volatility[J]. Financial Analysts Journal,1988(5):727-753. |
[3] |
Harris L. S&P 500 cash stock price volatilities [J]. The Journal of Finance,1989(5):1155-1175. |
[4] |
Beckett S,Roberts D J. Will increased regulation of stock index futures reduce stock market volatility?[J]. Federal Reserve Board of Kansas City Economic Review,1990(11):33-46. |
[5] |
Brorsen B W. Futures trading,transaction costs,and stock market volatility[J]. The Journal of Futures Markets,1991(2):153-163. |
[6] |
Antoniou A,Holmes P. Futures trading,information and spot price volatility:evidence for the FTSE-100 Stock Index Futures contract using GARCH[J]. Journal of Banking and Finance,1995(1):117-129. |
[7] |
Drimbetas E,Sariannidis N,Porfiris N. The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market[J]. Applied Financial Economics,2007(2):139-148. |
[8] |
Kasman A,Kasman S. The impact of futures trading on volatility of the underlying asset in the Turkish stock market[J]. Physica A: Statistical Mechanics and its Applications,2008(12):2837-2845. |
[9] |
Debasish S S. Effect of futures trading on spot-price volatility:evidence for NSE nifty using GARCH[J]. The Journal of Risk Finance,2009(1):67-77. |
[10] |
陈雨露,汪昌云. 金融学文献通论(微观金融卷)[M]. 北京:中国人民大学出版社,2006:946-975. |
[11] |
史美景,邱长溶. 股指期货对现货市场的信息传递效应分析[J]. 当代经济科学,2007,29(4):27-31,125. |
[12] |
葛勇,叶德磊. 我国开展股指期货交易对现货市场波动性的影响——基于仿真交易数据的实证研究[J]. 金融理论与实践,2008(7):107-110. |
[13] |
徐凌. 期货交易、信息传递和现货市场波动关联性研究——基于H股指数、台湾加权指数期货的实证分析[C]// 复旦大学财务金融系、四川大学金融研究. 中国金融学,北京:中国金融出版社,2008:45-59. |
[14] |
袁鲲. 股指期货推出对现货市场走势的影响[J]. 中国金融,2010(1):80-82. |
[15] |
黄永兴,徐鹏. 股指期货对股票指数波动性的影响——基于沪深300股指期货仿真交易的计量检验[J]. 安徽工业大学学报:自然科学版,2010,27(4):427-432. |
[16] |
刑天才,张阁. 中国股指期货对现货市场联动效应的实证研究——基于沪深300仿真指数期货数据的分析[J]. 财经问题研究,2010(4):48-54. |
[17] |
高铁梅. 计量经济分析方法与建模[M]. 北京:清华大学出版社,2009:193-218. |
[18] |
戴国强,李良松. 股票市场重大融资行为对上海银行间同业拆放利率的影响[J]. 证券市场导报,2009(7):51-56. |