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    題名: Volatility behavior, information efficiency and risk in the S&P 500 index markets
    作者: Chiang, Shu-Mei;Chung, Hui-Min;Huang, Chien-Ming
    貢獻者: 淡江大學國際企業學系
    關鍵詞: ARJI-Trend model;Components;Jumps;S&P 500 index
    日期: 2011-04-15
    上傳時間: 2013-10-22 10:26:52 (UTC+8)
    出版者: Abingdon: Routledge
    摘要: We propose an ARJI-Trend model—a combination of the ARJI and component models—to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor- traded and E-mini index futures in US markets. Although certain analogous characteristics are discernible amongst the three indices (such as the responses by the transitory components to innovations, the high persistence in the trends, and the relative importance of jump variance), the reaction to news is found to be heterogeneous amongst the S&P 500 indices. Furthermore, the out-of-sample forecasting performances of both the ARJI-Trend model and the GARCH model are found to have general equivalence for the S&P 500 indices. Our analyses further show that the mini-sized index market is the most efficient with regard to the transmission of information in both the short and long run. This suggests that, following the introduction of E-mini futures, these instruments have come to play a dominant role in price discovery. Overall, our empirical results are very encouraging, insofar as the proposed ARJI-Trend model is found to be a useful tool for helping practitioners to gain a better understanding of the differential attributes between spot, general and mini-sized products in US stock markets.
    關聯: Quantitative Finance 12(9), p.1421-1437
    DOI: 10.1080/14697688.2010.547512
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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