教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題:Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
學年104
學期1
出版(發表)日期2016/01/29
作品名稱Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
作品名稱(其他語言)
著者Yung-Ching Tseng; Wo-Chiang Lee
單位
出版者
著錄名稱、卷期、頁數Advances in Management & Applied Economics 6(1), pp.89-111
摘要This study aims to analyze the effect of investor sentiment on Exchange Traded Fund (ETF) liquidity, and to capture the variations in investor sentiment, mainly focusing on Asian ETF market data. We employ the Volatility Index and GARCH model to capture the volatility-clustering effect in the study. The empirical result shows that ETF has liquidity, and the degree of investor sentiment plays an important role in ETF liquidity within Asian countries. It indicates a volatility-clustering effect, dealing with the difference of trading systems, regulations in the market, and finds that the relationship between VIX and ETF liquidity is significantly different. Considering hedging against market risk and portfolio investment, this paper suggests that investors should take investor sentiment into their investment decisions, and re-adjust the investment weight of ETF product.
關鍵字Investor Sentiment;ETF Liquidity;Liquidity-volatility-clustering Effect;Volatility Index
語言英文(美國)
ISSN1792-7552;1792-7544
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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