Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
學年 104
學期 1
出版（發表）日期 2016-01-30
作品名稱 Investor Sentiment and ETF Liquidity -Evidence from Asia Markets
作品名稱（其他語言）
著者 Yung-Ching Tseng; Wo-Chiang Lee
單位
出版者
著錄名稱、卷期、頁數 Advances in Management & Applied Economics 6(1), p.89-111
摘要 This study aims to analyze the effect of investor sentiment on Exchange Traded Fund (ETF) liquidity, and to capture the variations in investor sentiment, mainly focusing on Asian ETF market data. We employ the Volatility Index and GARCH model to capture the volatility-clustering effect in the study. The empirical result shows that ETF has liquidity, and the degree of investor sentiment plays an important role in ETF liquidity within Asian countries. It indicates a volatility-clustering effect, dealing with the difference of trading systems, regulations in the market, and finds that the relationship between VIX and ETF liquidity is significantly different. Considering hedging against market risk and portfolio investment, this paper suggests that investors should take investor sentiment into their investment decisions, and re-adjust the investment weight of ETF product.
關鍵字 Investor Sentiment;ETF Liquidity;Liquidity-volatility-clustering Effect;Volatility Index
語言 en_US
ISSN 1792-7552 1792-7544
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105913 )

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