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 Implicit Phenomena Matter? Evidence from China Stock Index Futures
學年106
學期2
出版(發表)日期2018/07/02
作品名稱Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
作品名稱(其他語言)
著者Yensen NI; Min-Yuh Day; Paoyu Huang; Yuhsin Chen
單位
出版者
著錄名稱、卷期、頁數The Journal of Alternative Investments 21(1) ,79-91.
摘要The CSI 300 Futures (CSI300F) index rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this study. Owing to big data concerns, we explore whether investors would profit when the implicit rising (falling) phenomena occur, which exist in practice but remain unexplored in the literature. In this study, we reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which is rather impressive for investors, thereby implying that momentum strategies are appropriate for trading the CSI300F as the implicit phenomena occurs. We suspect that implicit phenomena are likely to be the manipulation trace of investors with market force and even insiders. Thus, we argue for investors to consider the results when trading index futures.
關鍵字
語言英文(美國)
ISSNPrint 1520-3255;Online 2168-8435
期刊性質國外
收錄於ESCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
相關連結
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