淡江大學機構典藏:Item 987654321/116967
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 62805/95882 (66%)
造訪人次 : 3941837      線上人數 : 1061
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/116967


    題名: Does the ETF Market Overreact in the United States?
    作者: Ming-Chih Lee, Chien-Ming Huang and Yin-Ru Jau
    關鍵詞: Dynamic correlation;liquidity;financial crisis;monetary environment
    日期: 2019-03
    上傳時間: 2019-09-11 12:10:51 (UTC+8)
    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.
    關聯: International Journal of Information and Management Sciences 30(1), p.73-86
    DOI: 10.6186/IJIMS.201903_30(1).0005
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    Does the ETF Market Overreact in the United States.pdf267KbAdobe PDF1檢視/開啟
    index.html0KbHTML93檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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