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dc.contributor.author王鈺仁en_US
dc.contributor.authorWang, Yu-Jenen_US
dc.contributor.author鍾惠民en_US
dc.contributor.author郭家豪en_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorGuo, Jia-hauen_US
dc.date.accessioned2014-12-12T02:34:30Z-
dc.date.available2014-12-12T02:34:30Z-
dc.date.issued2012en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079639801en_US
dc.identifier.urihttp://hdl.handle.net/11536/72244-
dc.description.abstract本論文檢測以S&P 500指數為標的之槓桿ETF在放空限制條件下的價格發現能力,我們主要發現在有放空限制條件下的S&P 500指數市場,槓桿倍數為-2倍的槓桿ETF的價格發現能力上升,傳統的ETF價格發現能力下降,此外在有放空限制條件下槓桿為-2倍的槓桿ETF價格發現能力,接近甚至超越過去研究所發現最具有價格發現能力的E-mini指數期貨。zh_TW
dc.description.abstractIn this paper, we examine the price discovery of leveraged exchange-traded funds (LETFs), which underlying benchmark is S&P 500 index in the period of ban on short sales. We find that the short-selling bans have led to increase in the information share of ProShares UltraShort S&P 500 Fund (SDS), and decrease in the information share of Standard and Poor’s Depository Receipt Trust Series I (SPDR). Furthermore, the contribution of price discovery in the SDS market has become higher than E-mini index futures market in some trading venues in the period of ban on short sales. These results imply that the ban on short sales maybe slowed down price discovery in the regular ETF market.en_US
dc.language.isoen_USen_US
dc.subject槓桿ETFzh_TW
dc.subjectSPDRzh_TW
dc.subjectE-mini指數期貨zh_TW
dc.subject價格發現zh_TW
dc.subject放空限制zh_TW
dc.subjectleveraged exchange-traded fundsen_US
dc.subjectStandard and Poor’s Depository Receipt Trust Series Ien_US
dc.subjectE-mini index futuresen_US
dc.subjectprice discoveryen_US
dc.subjectshort-selling bansen_US
dc.title槓桿ETF與E-mini指數期貨日內資料之價格發現分析zh_TW
dc.titleIntraday price discovery of leveraged ETF and E-mini index futuresen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
Appears in Collections:Thesis