Do Implicit Phenomena Matter? Evidence from China Stock Index Futures

淡江大學機構典藏 > 商管學院 > 資訊管理學系暨研究所 > 期刊論文 > Item 987654321/114852

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題名:	Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
作者:	Min-Yuh Day;Paoyu Huang;Yensen Ni;Yuhsin Chen
關鍵詞:	Intraday Trading;Implicit Phenomena;CSI 300 Futures;Investing Strategies
日期:	2018-07
上傳時間:	2018-08-08 12:10:40 (UTC+8)
出版者:	Chartered Alternative Investment Analyst Association (CAIA)
摘要:	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.
關聯:	The Journal of Alternative Investments 21(1), p.79-91
DOI:	10.3905/jai.2018.1.062
顯示於類別:	[資訊管理學系暨研究所] 期刊論文

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