教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:Volatility behavior, information efficiency and risk in the S&P 500 index markets
學年100
學期1
出版(發表)日期2012/01/01
作品名稱Volatility behavior, information efficiency and risk in the S&P 500 index markets
作品名稱(其他語言)
著者Chiang, Shu-Mei; Chung, Hui-Min; Huang, Chien-Ming
單位淡江大學國際企業學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Quantitative Finance 12(9), pp.1421-1437
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.
關鍵字ARJI-Trend model; Components; Jumps; S&P 500 index
語言英文
ISSN1469-7688; 1469-7696
期刊性質國外
收錄於SSCI
產學合作
通訊作者Chiang, Shu-Mei
審稿制度
國別英國
公開徵稿
出版型式紙本
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