English  |  正體中文  |  简体中文  |  Items with full text/Total items : 58286/91808 (63%)
Visitors : 13814085      Online Users : 43
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/987654321/72576

    Title: The Relationship between the S&P 500 Spot and Futures Indices: Brothers or Cousins?
    Authors: Chiu, Chien-liang;Chiang, Shu-mei;Kao, Feng
    Contributors: 淡江大學財務金融學系
    Date: 2006-03
    Issue Date: 2011-10-24 10:34:15 (UTC+8)
    Publisher: Abingdon, Oxon: Routledge
    Abstract: This paper applies the GARJI model to investigate the impact of news on the S&P 500 spot and index futures. We show their reactions are dissimilar to good or bad news. Hence, though they are like brothers, they are cousins. Besides, the persistence and sensitivity parameters for the arrival of jump events are quite high and significant. It means a high probability of many jumps today seems to be followed by a high probability of many jumps tomorrow. We suggest it is necessary to consider the time series dynamics in the jump size distribution when studying the impact of news on financial markets.
    Relation: Applied Financial Economics 16(5), pp.405-412
    DOI: 10.1080/09603100500400239
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    The Relationship between the S_P 500 Spot and Futures Indices Brothers or Cousins.pdf216KbAdobe PDF1View/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