English  |  正體中文  |  简体中文  |  Items with full text/Total items : 55990/90025 (62%)
Visitors : 11527337      Online Users : 85
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117745


    Title: Expiration Effect of Leveraged and Inverse ETFs
    Authors: Lee, Ming-Chih;Lee, Lung-Yu;Chen, Yu-Li
    Keywords: Leveraged and reverse ETFs;maturity effect;bivariate GARCH model
    Date: 2019-09-30
    Issue Date: 2019-10-31 12:10:29 (UTC+8)
    Publisher: Dept of Management Sciences, TKU
    Abstract: This study aims to examine whether there is a maturity effect in the leveraged and reverse ETFs on the maturity date of the underlying index futures or on the trading day before and after the maturity date and to investigate whether the maturity effect of different types of ETF commodities is more prominent issue. The sample is leverage and inverse ETFs tracking the Taiwan Stock Exchange Capitalization Weighted Stock Index from October 31, 2014 to January 15, 2018. Empirical model used bivariate GARCH model to captures the variations of maturity effects. The study shows that all ETFs present significant maturity effects before expiration. In particular, the volatility and trading volume present abnormal phenomenon.
    Relation: International Journal of Information and Management Sciences, Vol. 30(5), P. 203-219
    DOI: 10.6186/IJIMS.201909_30(3).0001
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML24View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


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