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 Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
學年
學期
出版(發表)日期2018/06/30
作品名稱Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
作品名稱(其他語言)日內大幅價格變化對交易指數期貨重要嗎?中國期貨市場的證據
著者Min-Yuh Day; Paoyu Huang; Yensen Ni; Yuhsin Chen
單位
出版者
著錄名稱、卷期、頁數Journal of Financial Studies 26(2), p.139-174
摘要By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute defined as intraday large price change. We argue that the intraday large price change might induce investors to trade the C300F. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.
關鍵字day trading;investment strategy;large price changes
語言英文
ISSN1022-2898
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
相關連結
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