Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
學年 103
學期 2
發表日期 2015-05-16
作品名稱 Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
作品名稱（其他語言）
著者 曾永慶; 李沃牆
作品所屬單位 淡江大學財務金融學系
出版者 淡江大學管理科學學系
會議名稱 The 2015 International Conference in Management Sciences and Decision Making
會議地點
摘要 This study aims to analyze the effect of investor’s sentiment on the Exchange Traded Funds(ETF) liquidity, and to capture the variations of investor’s sentiment, the Volatility Index (VIX) is used to observe the market characteristics as a proxy variable. In addition, our sample data mainly focus on the Asia ETF market. The empirical results show that the degree of market investor sentiment plays an important role in the ETF liquidity within these Asia countries. We employ GARCH model to capture the volatility-clustering effect in the study. The empirical result shows ETF has liquidity and volatility-clustering effect, which is, when in a specific period there is a better or poor liquidity phenomenon. Especially, when the market condition presents different characteristics, namely the difference of trading systems, regulations and so on, the relationship between VIX and ETF liquidity is also significant difference. From the viewpoints of hedging market risk and portfolio investment, this paper also suggests that investor should consider the sentiment factors into their investment decision, and timely readjust the investment weight of ETF product.
關鍵字 Investor’s Sentiment; ETF Liquidity; Liquidity-volatility-clustering Effect; Volatility Index
語言 en
收錄於
會議性質
校內研討會地點
研討會時間 20150516~20150516
通訊作者 曾永慶
國別 TWN
公開徵稿
出版型式 紙本
出處 Proceeding of the 2015 International Conference in Management Sciences and Decision Making
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102889 )

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