期刊論文
| 學年 | 106 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2018-04-01 |
| 作品名稱 | VIX期貨與VIX交易所交易商品價格發現的實證研究 |
| 作品名稱（其他語言） | An Empirical Study on Price Discovery between VIX Futures and VIX Exchange Trading Products |
| 著者 | 洪瑞成; 邱建良; 葉宗翰 |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | 期貨與選擇權學刊，11(1)，Pp.39-73 |
| 摘要 | This study uses the modified information share (MIS) approach of Lien and Shrestha (2009) to measure relative price discovery ability between VIX futures and VIX ETPs (VXX and VIXY) during 2012 to 2016. The empirical results of VECM model indicate that there are bi-directional feedbacks between VIX futures and VIX ETPs. In addition, the MIS shows that the VIX ETPs dominates in price discovery process for most of the time during research period; however, the regression analysis exhibits that the relative price discovery ability of VIX futures significantly increases when VIX and VVIX raise. These results imply that the information of market risk mainly occurs in VIX futures market, and are consistent with market-wide information hypothesis and liquidity hypothesis. |
| 關鍵字 | VIX Futures; VIX ETPs; Price Discovery; VECM; Modified Information Share |
| 語言 | zh_TW |
| ISSN | 2410-8146 |
| 期刊性質 | 國內 |
| 收錄於 | TSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 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/987654321/126735 ) |