淡江大學機構典藏:Item 987654321/116702
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62819/95882 (66%)
造访人次 : 4001891      在线人数 : 660
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/116702


    题名: Does the ETF Market Overreact in the United States?
    作者: Lee, Ming-Chih;Huang, Chien-Ming;Jau, Yin-Ru
    关键词: Dynamic correlation;liquidity;financial crisis;monetary environment
    日期: 2019-03
    上传时间: 2019-05-18 12:10:35 (UTC+8)
    出版者: International Journal of Information and Management Sciences
    摘要: This paper aims to investigate the dynamic correlation of liquidities between the ETF market and the stock market in the United States. To accurately capture the characteristics of liquidity distribution and to effectively enhance the reliability of an empirical analysis, this paper adopts the DCC-GARCH Model with normal- and heavy-tailed distribution proposed by Politis [16] to examine whether there is an overreaction to market information in the ETF market. Empirical results show that the liquidities in the two markets exhibit leptokurtic and fat-tailed features and clusters of volatilities. It clearly indicates that a fat-tailed distribution for measuring the residual pattern of the two market liquidities is more suitable and more efficient than a normal distribution. In addition, the correlation coefficients of the two markets also present time-varying characteristics. In particular, a high correlation of the two markets is found in a period of financial crisis, which indicates that ETFs provide a substitute for investment allocation. Conversely, the correlation decreases when there is a financial bull market and the monetary environment is tight, which indicates that the ETF market does not effectively respond to the underlying asset. Our results also suggest that the ETF market information flow is inconsistent with the stock market.http://www.airitilibrary.com/Publication/alDetailedMesh?DocID=10171819-201903-201905100001-201905100001-73-86
    關聯: International Journal of Information and Management Sciences 30(1), p.73-86
    DOI: 10.6186/IJIMS.201903_30(1).0005
    显示于类别:[財務金融學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    Does the ETF Market Overreact in the United States.pdf267KbAdobe PDF0检视/开启
    index.html0KbHTML218检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

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