English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 57075/90742 (63%)
造访人次 : 12504813      在线人数 : 78
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: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117745


    题名: Expiration Effect of Leveraged and Inverse ETFs
    作者: Lee, Ming-Chih;Lee, Lung-Yu;Chen, Yu-Li
    关键词: Leveraged and reverse ETFs;maturity effect;bivariate GARCH model
    日期: 2019-09-30
    上传时间: 2019-10-31 12:10:29 (UTC+8)
    出版者: Dept of Management Sciences, TKU
    摘要: 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.
    關聯: International Journal of Information and Management Sciences, Vol. 30(5), P. 203-219
    DOI: 10.6186/IJIMS.201909_30(3).0001
    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
    index.html0KbHTML46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