English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51948/87093 (60%)
Visitors : 8506934      Online Users : 193
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102889

    Title: Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
    Authors: 曾永慶;李沃牆
    Contributors: 淡江大學財務金融學系
    Keywords: Investor’s Sentiment;ETF Liquidity;Liquidity-volatility-clustering Effect;Volatility Index
    Date: 2015-05-16
    Issue Date: 2015-05-11 14:24:27 (UTC+8)
    Publisher: 淡江大學管理科學學系
    Abstract: 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.
    Relation: Proceeding of the 2015 International Conference in Management Sciences and Decision Making
    Appears in Collections:[財務金融學系暨研究所] 會議論文

    Files in This Item:

    File Description SizeFormat
    Investor Sentiment and ETF Liquidity.pdf322KbAdobe PDF1058View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

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