Impact of mitigating tick size on mispricing of index futures in Taiwan stock exchanges

References

• Cornell , B. and French , K. R. 1983 . The pricing of stock index futures . Journal of Futures Markets , 3 : 1 – 14 .
   Web of Science ®Google Scholar
• Modest , D. M. and Sundaresan , M. 1983 . The relationship between spot and futures prices in stock index futures markets: some preliminary evidence . Journal of Futures Markets , 3 : 15 – 41 .
   Web of Science ®Google Scholar
• Stoll , H. R. and Whaley , R. E. 1986 . Program trading and expiration day effects . Financial Analysts Journal , 43 : 16 – 28 .
   Google Scholar
• Figlewski , S. 1984 . Hedging performance and basis risk in stock index futures . The Journal of Finance , 39 : 657 – 669 .
   Web of Science ®Google Scholar
• Chung , P. Y. 1991 . A transactions data test of stock index futures market efficiency and index arbitrage profitability . The Journal of Finance , 46 : 1791 – 1809 .
   Web of Science ®Google Scholar
• Klemkosky , R. C. and Lee , J. H. 1991 . The intraday ex post and ex ante profitability of index arbitrage . The Journal of Futures Markets , 11 : 291 – 311 .
   Web of Science ®Google Scholar
• Puttonen , V. 1993 . Stock index futures arbitrage in Finland: theory and evidence in a new market . European Journal of Operational Research , 68 : 304 – 317 .
   Google Scholar
• Gay , G. D. and Jung , D. Y. 1999 . A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures . The Journal of Futures Markets , 19 : 153 – 174 .
   Web of Science ®Google Scholar
• Draper , P. and Fung , J. K. W. 2003 . Discretionary government intervention and the mispricing of index futures . The Journal of Futures Markets , 23 : 1159 – 1189 .
   Web of Science ®Google Scholar
• Boxm , G. E. P. and Tiao , G. C. 1975 . Intervention analysis with application to economic and environmental problems . Journal of the American Statistical Association , 70 : 70 – 79 .
   Google Scholar
• Abrams , B. 1987 . Application of intervention analysis to road fatality series in Ontario . Journal of Forecasting , 6 : 211 – 220 .
   Google Scholar
• Mills , T. C. and Stephenson , M. J. 1987 . A time series foercasting system for the U.K. money supply . Economic Modelling , 4 : 355 – 369 .
   Web of Science ®Google Scholar
• Harvey , A. C. and Durbin , J. 1986 . The effects of seat belt legislation on british road casualties: a case study in structure time series modelling . Journal of the Royal Statistical Society, Series A , 49 : 187 – 227 .
   Google Scholar
• Bhattacharyaa , M. N. and Layton , A. P. 1979 . Effectiveness of seat belt legislation analysis . Journal of the American Statistical Association , 74 : 596 – 603 .
   Google Scholar
• Tsay , R. S. 1986 . Time series model specification in the presence of outliers . Journal of the American Statistical Association , 81 : 132 – 141 .
   Web of Science ®Google Scholar
• Fox , A. J. 1972 . Outliers in time series . Journal of the Royal Statistical Society, Series B , : 350 – 363 .
   Google Scholar
• Box , G. E. P. and Jenkins , G. M. 1976 . Time Series Analysis: Forecasting and Control , San Francisco : Revised edition, Holden-Day .
   Google Scholar
• Vandaele , W. 1983 . Applied Time Series and Box-Jenkins Models , New York : Academic Press .
   Google Scholar
• Mills , T. C. 1990 . Time Series Techniques for Economists , Cambridge University Press .
   Google Scholar
• Ramanathan , R. 1995 . Introductory Econometrics , 3rd , The Dryden Press .
   Google Scholar
• Pindyck , R. S. and Rubinfeld , D. L. 1997 . Econometric Models and Economic Forecasts , McGraw-Hill Press .
   Google Scholar
• Dickey , D.A. and Fuller , W.A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
   Web of Science ®Google Scholar
• Chang , I. , Tiao , G. C. and Chen , C. 1988 . Estimation of time series parameters in the presence of outliers . Technometrics , 30 : 193 – 204 .
   Web of Science ®Google Scholar