English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52355/87459 (60%)
Visitors : 9129101      Online Users : 224
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/987654321/106011

    Title: Investor Sentiment and ETF Liquidity-Evidence from Asia Markets
    Authors: Yung-Ching Tseng;Wo-Chiang Lee
    Keywords: Investor Sentiment;ETF Liquidity;Liquidity-volatility-clustering Effect;Volatility Index
    Date: 2016/01/30
    Issue Date: 2016-04-22 13:14:50 (UTC+8)
    Publisher: Scienpress Ltd.
    Abstract: This study aims to analyze the effect of investor sentiment on Exchange Traded Fund (ETF) liquidity, and to capture the variations in investor sentiment, mainly focusing on Asian ETF market data. We employ the Volatility Index and GARCH model to capture the volatility-clustering effect in the study. The empirical result shows that ETF has liquidity, and the degree of investor sentiment plays an important role in ETF liquidity within Asian countries. It indicates a volatility-clustering effect, dealing with the difference of trading systems, regulations in the market, and finds that the relationship between VIX and ETF liquidity is significantly different. Considering hedging against market risk and portfolio investment, this paper suggests that investors should take investor sentiment into their investment decisions, and re-adjust the investment weight of ETF product.
    Relation: Advances in Management & Applied Economics 6(1), pp.89-111
    Appears in Collections:[經濟學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat

    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