English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 54229/89020 (61%)
造访人次 : 10554249      在线人数 : 24
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/987654321/18383


    题名: Hedging with Floor-traded and E-mini Stock Index Futures
    作者: Chiu, Chien-liang;Wu, Pei-shan;Chen, Chun-da;Cheng, Wan-hsiu
    贡献者: 淡江大學財務金融學系
    日期: 2005
    上传时间: 2009-08-26 15:37:57 (UTC+8)
    出版者: University of Nebraska Press
    摘要: This study investigates the out-of-sample hedging effectiveness and dynamic hedge ratios of floor-traded and E-mini futures with VAR, ECM, bivariate GARCH, Kaiman filter, and Markov regime switching in the S&P500 and Nasdaq-100 markets. The empirical results show that both the floor-traded and E-mini futures can be good instruments to be used as hedge objectives. The correlation coefficient between spot and futures increases and hedge effectiveness goes up when the hedging period is extended. Moreover, the bivariate GARCH and Markov regime switching show a higher HEI performance in short-term and long-term hedging periods, respectively. Furthermore, floortraded futures with an open outcry system surprisingly do better than E-mini futures contracts. This study proposes meaningful evidence of hedging strategies for investors with different spot index, hedging periods, and trading mechanisms.
    關聯: Quarterly Journal of Business and Economics 44(3-4), pp.49-68
    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.html0KbHTML17检视/开启
    全文.pdf1444KbAdobe PDF129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