期刊論文
| 學年 | 108 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2019-09-30 |
| 作品名稱 | Expiration Effect of Leveraged and Inverse ETFs |
| 作品名稱（其他語言） | |
| 著者 | Lee Ming-Chih; Lung-Yu Lee; Yu-Li Chen |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Information and Management Sciences, Vol. 30(5), P. 203-219 |
| 摘要 | This study aims to examine whether there is a maturity effect in the leveraged and reverse ETFs on the maturity date of the underlying index futures or on the trading day before and after the maturity date and to investigate whether the maturity effect of different types of ETF commodities is more prominent issue. The sample is leverage and inverse ETFs tracking the Taiwan Stock Exchange Capitalization Weighted Stock Index from October 31, 2014 to January 15, 2018. Empirical model used bivariate GARCH model to captures the variations of maturity effects. The study shows that all ETFs present significant maturity effects before expiration. In particular, the volatility and trading volume present abnormal phenomenon. |
| 關鍵字 | Leveraged and reverse ETFs;maturity effect;bivariate GARCH model |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | Lee, Ming-Chih |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117745 ) |