教師資料查詢 | 類別: 期刊論文 | 教師: 倪衍森 NI, YEN-SEN (瀏覽個人網頁)

標題:Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
學年106
學期2
出版(發表)日期2018/06/15
作品名稱Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
作品名稱(其他語言)
著者戴敏育(Min-Yuh Day); 黃寶玉(Paoyu Huang); 倪衍森(Yensen Ni); 陳育欣(Yuhsin Chen)
單位
出版者
著錄名稱、卷期、頁數Journal of Financial Studies, 26 (2), 139-174.
摘要Journal of Financial Studies: By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute, which is defined as intraday large price change in this study. We argue that the intraday large price change would stimulate the sentiments of investors and even induce investors to trade the C300F. To the best of our knowledge, the aforementioned issue has not been examined in the relevant literature. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.

Do Intraday Large Price Changes Matter for Trading Index.... Available from: https://www.researchgate.net/publication/319663418_Do_Intraday_Large_Price_Changes_Matter_for_Trading_Index_Futures_Evidence_from_China_Futures_Markets [accessed Jun 13 2018].
關鍵字
語言英文
ISSN
期刊性質國內
收錄於TSSCI;
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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