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 en_US
ISSN 1520-3255
期刊性質 國外
收錄於 ESCI
產學合作
通訊作者
審稿制度 是
國別 USA
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/987654321/114852 )