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    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

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