淡江大學機構典藏:Item 987654321/117745
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    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

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