期刊論文
| 學年 | 114 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2025-12-01 |
| 作品名稱 | The Influence of Lottery Effect on the Holding Period Returns of Futures around Expiration Date |
| 作品名稱（其他語言） | |
| 著者 | Chien-Chih Lin; Shu-Hui Chen; Ying-Yu Tai; Mei-Ling Yeh; Shiang-Shiu Chang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Information and Management Sciences 36(4), p.315-328 |
| 摘要 | We have analyzed influences on returns of futures from investors' gambling transactions in the paper. We have discovered from group testing and regression analysis that there is no obvious lottery effect in the futures market before the expiration date but significant lottery effects occur in the futures market on the expiration date and are particularly obvious in the next-month futures market. Besides, we have also discovered that the performance of futures index would be worse (better) than that of spot index on the expiration date if the market returns surge (crash) on the day before expiration of futures contracts. Lastly, our empirical results have demonstrated that the returns of futures are lower (higher) than spot returns on the expiration date when the market risks are higher (lower). |
| 關鍵字 | Index Futures; Gambling Truncation; Lottery Effect |
| 語言 | en |
| ISSN | 1017-1819 |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/129381 ) |