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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114852

    Title: Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
    Authors: Min-Yuh Day;Paoyu Huang;Yensen Ni;Yuhsin Chen
    Keywords: Intraday Trading;Implicit Phenomena;CSI 300 Futures;Investing Strategies
    Date: 2018-07
    Issue Date: 2018-08-08 12:10:40 (UTC+8)
    Publisher: Chartered Alternative Investment Analyst Association (CAIA)
    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 article. Owing to big data concerns, the authors explore whether investors would profit when the implicit rising (falling) phenomena occur – events which exist in practice, but remain unexplored in the literature. In this study, they reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which implies that momentum strategies may be appropriate for trading the CSI300F as the implicit phenomena occurs. The authors suspect that implicit phenomena could be the manipulation trace of investors with market force and even insiders. Thus, they argue that investors should consider these results when trading index futures.
    Relation: The Journal of Alternative Investments 21(1), p.79-91
    DOI: 10.3905/jai.2018.1.062
    Appears in Collections:[Graduate Institute & Department of Information Management] Journal Article

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