教師資料查詢 | 類別: 期刊論文 | 教師: 李命志 LEE, MING-CHIH (瀏覽個人網頁)

標題:Expiration Effect of Leveraged and Inverse ETFs
學年108
學期1
出版(發表)日期2019/09/30
作品名稱Expiration Effect of Leveraged and Inverse ETFs
作品名稱(其他語言)
著者Lee Ming-Chih; Lung-Yu Lee; Yu-Li Chen
單位
出版者
著錄名稱、卷期、頁數International Journal of Information and Management Sciences, Vol. 30(5), P. 203-219
摘要This study aims to examine whether there is a maturity effect in the leveraged and reverse ETFs on the maturity date of the underlying index futures or on the trading day before and after the maturity date and to investigate whether the maturity effect of different types of ETF commodities is more prominent issue. The sample is leverage and inverse ETFs tracking the Taiwan Stock Exchange Capitalization Weighted Stock Index from October 31, 2014 to January 15, 2018. Empirical model used bivariate GARCH model to captures the variations of maturity effects. The study shows that all ETFs present significant maturity effects before expiration. In particular, the volatility and trading volume present abnormal phenomenon.
關鍵字Leveraged and reverse ETFs;maturity effect;bivariate GARCH model
語言英文
ISSN
期刊性質國外
收錄於EI;
產學合作
通訊作者Lee, Ming-Chih
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
相關連結
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