期刊論文
學年 | 104 |
---|---|
學期 | 1 |
出版(發表)日期 | 2016-01-30 |
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), p.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 | en_US |
ISSN | 1792-7552 1792-7544 |
期刊性質 | 國外 |
收錄於 | |
產學合作 | |
通訊作者 | |
審稿制度 | 是 |
國別 | GBR |
公開徵稿 | |
出版型式 | ,電子版 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105913 ) |