2Brooks, C., Rew, A. G., and Ritson, S. (2001), A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100, International Journal of Forecasting, 17.
2[2]Bailey W. Risk and Return on China New Stock Market: Some Preliminary Evidence[J]. Pacific-Basin Finance Journal, 1994, 2(1): 243～260
3[3]Baig T, Goldfajn I. Financial Market Contagion in the Asian crisis[C]. IMF Staff Papers, 1999, 46(2): 167～195
4[4]Chang T Y, Nieh C C. International Transmission of Stock Price Movements Among Taiwan and Its Trading Partners: Hong Kong, Japan and the United States[J]. Review of Pacific Basin Financial Markets and Policies, 2001,4(4): 379～401
5[5]Chen G M, Firth M, Rui O M. Stock Market Linkages: Evidence from Latin America[J]. Journal of Banking and Finance, 2002, 26(6):1113～1141
6[6]Dickey D A, Fuller W A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root[J]. Journal of American Statistical Association, 1979, 74(366): 427～431
7[7]Dickey D A, Fuller W A. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root[J]. Econometrica, 1981,49(4): 1057～1072
8[8]Engle R F, Granger C W J. Co-integration and Error Correction: Representation, Estimation and Testing[J]. Econometrica, 1987,55(2):251～276
9[9]Francisco C, Vicente M. Has 1997 Asian Crisis Increased Information Flows between International Markets[J]. International Review of Economics and Finance, 2003, 12(1): 111～143
10[10]Granger C W J. Some Recent Developments in a Concept of Causality[J]. Journal of Econometrics, 1988,39(1/2): 199～211
