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dc.contributor.authorChiang, Shu-Meien_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorHuang, Chien-Mingen_US
dc.date.accessioned2014-12-08T15:24:28Z-
dc.date.available2014-12-08T15:24:28Z-
dc.date.issued2012en_US
dc.identifier.issn1469-7688en_US
dc.identifier.urihttp://hdl.handle.net/11536/16984-
dc.identifier.urihttp://dx.doi.org/10.1080/14697688.2010.547512en_US
dc.description.abstractWe propose an ARJI-Trend model-a combination of the ARJI and component models-to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor-traded and E-mini index futures in US markets. Although certain analogous characteristics are discernible amongst the three indices (such as the responses by the transitory components to innovations, the high persistence in the trends, and the relative importance of jump variance), the reaction to news is found to be heterogeneous amongst the S&P 500 indices. Furthermore, the out-of-sample forecasting performances of both the ARJI-Trend model and the GARCH model are found to have general equivalence for the S&P 500 indices. Our analyses further show that the mini-sized index market is the most efficient with regard to the transmission of information in both the short and long run. This suggests that, following the introduction of E-mini futures, these instruments have come to play a dominant role in price discovery. Overall, our empirical results are very encouraging, insofar as the proposed ARJI-Trend model is found to be a useful tool for helping practitioners to gain a better understanding of the differential attributes between spot, general and mini-sized products in US stock markets.en_US
dc.language.isoen_USen_US
dc.subjectARJI-Trend modelen_US
dc.subjectComponentsen_US
dc.subjectJumpsen_US
dc.subjectS&P 500 indexen_US
dc.titleVolatility behavior, information efficiency and risk in the S&P 500 index marketsen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/14697688.2010.547512en_US
dc.identifier.journalQUANTITATIVE FINANCEen_US
dc.citation.volume12en_US
dc.citation.issue9en_US
dc.citation.spage1421en_US
dc.citation.epage1437en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000308092000009-
dc.citation.woscount0-
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