教師資料查詢 | 類別: 期刊論文 | 教師: 邱建良 CHIU CHIEN-LIANG (瀏覽個人網頁)

標題:The Relationship between the S&P 500 Spot and Futures Indices: Brothers or Cousins?
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
語言英文
ISSN0960-3107;1466-4305
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式紙本
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