English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 62805/95882 (66%)
造訪人次 : 3873537      線上人數 : 410
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/987654321/18383

    題名: Hedging with Floor-traded and E-mini Stock Index Futures
    作者: Chiu, Chien-liang;Wu, Pei-shan;Chen, Chun-da;Cheng, Wan-hsiu
    貢獻者: 淡江大學財務金融學系
    日期: 2005
    上傳時間: 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
    顯示於類別:[財務金融學系暨研究所] 期刊論文


    檔案 描述 大小格式瀏覽次數
    全文.pdf1444KbAdobe PDF130檢視/開啟



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