English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49521/84657 (58%)
造訪人次 : 7600711      線上人數 : 84
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102889


    題名: Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
    作者: 曾永慶;李沃牆
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Investor’s Sentiment;ETF Liquidity;Liquidity-volatility-clustering Effect;Volatility Index
    日期: 2015-05-16
    上傳時間: 2015-05-11 14:24:27 (UTC+8)
    出版者: 淡江大學管理科學學系
    摘要: This study aims to analyze the effect of investor’s sentiment on the Exchange Traded Funds(ETF) liquidity, and to capture the variations of investor’s sentiment, the Volatility Index (VIX) is used to observe the market characteristics as a proxy variable. In addition, our sample data mainly focus on the Asia ETF market. The empirical results show that the degree of market investor sentiment plays an important role in the ETF liquidity within these Asia countries. We employ GARCH model to capture the volatility-clustering effect in the study. The empirical result shows ETF has liquidity and volatility-clustering effect, which is, when in a specific period there is a better or poor liquidity phenomenon. Especially, when the market condition presents different characteristics, namely the difference of trading systems, regulations and so on, the relationship between VIX and ETF liquidity is also significant difference. From the viewpoints of hedging market risk and portfolio investment, this paper also suggests that investor should consider the sentiment factors into their investment decision, and timely readjust the investment weight of ETF product.
    關聯: Proceeding of the 2015 International Conference in Management Sciences and Decision Making
    顯示於類別:[財務金融學系暨研究所] 會議論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    Investor Sentiment and ETF Liquidity.pdf322KbAdobe PDF994檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋