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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/113691

    Title: Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
    Authors: Yensen NI;Min-Yuh Day;Paoyu Huang;Yuhsin Chen
    Date: 2018-07-02
    Issue Date: 2018-06-14 12:10:40 (UTC+8)
    Abstract: The CSI 300 Futures (CSI300F) index rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this study. Owing to big data concerns, we explore whether investors would profit when the implicit rising (falling) phenomena occur, which exist in practice but remain unexplored in the literature. In this study, we reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which is rather impressive for investors, thereby implying that momentum strategies are appropriate for trading the CSI300F as the implicit phenomena occurs. We suspect that implicit phenomena are likely to be the manipulation trace of investors with market force and even insiders. Thus, we argue for investors to consider the results when trading index futures.
    Relation: The Journal of Alternative Investments 21(1) ,79-91.
    DOI: 10.3905/jai.2018.1.062
    Appears in Collections:[Department of Management Sciences] Journal Article

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