教師資料查詢 | 類別: 期刊論文 | 教師: 戴敏育 Min-Yuh Day (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2018/07/01
作品名稱Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
作品名稱(其他語言)
著者Min-Yuh Day; Paoyu Huang; Yensen Ni; Yuhsin Chen
單位
出版者
著錄名稱、卷期、頁數The Journal of Alternative Investments 21(1), p.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 article. Owing to big data concerns, the authors explore whether investors would profit when the implicit rising (falling) phenomena occur – events which exist in practice, but remain unexplored in the literature. In this study, they reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which implies that momentum strategies may be appropriate for trading the CSI300F as the implicit phenomena occurs. The authors suspect that implicit phenomena could be the manipulation trace of investors with market force and even insiders. Thus, they argue that investors should consider these results when trading index futures.
關鍵字Intraday Trading;Implicit Phenomena;CSI 300 Futures;Investing Strategies
語言英文(美國)
ISSN1520-3255
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,紙本
相關連結
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