期刊論文
| 學年 | 94 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2006-03-01 |
| 作品名稱 | The Relationship between the S&P 500 Spot and Futures Indices: Brothers or Cousins? |
| 作品名稱（其他語言） | |
| 著者 | Chiu, Chien-liang; Chiang, Shu-mei; Kao, Feng |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Abingdon, Oxon: Routledge |
| 著錄名稱、卷期、頁數 | Applied Financial Economics 16(5), pp.405-412 |
| 摘要 | 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. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0960-3107 1466-4305 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72576 ) |