Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
學年 106
學期 2
出版（發表）日期 2018-07-02
作品名稱 Do Implicit Phenomena Matter? Evidence from China Stock Index Futures
作品名稱（其他語言）
著者 Yensen NI; Min-Yuh Day; Paoyu Huang; Yuhsin Chen
單位
出版者
著錄名稱、卷期、頁數 The Journal of Alternative Investments 21(1) ,79-91.
摘要 The CSI 300 Futures (CSI300F) index rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this study. Owing to big data concerns, we explore whether investors would profit when the implicit rising (falling) phenomena occur, which exist in practice but remain unexplored in the literature. In this study, we reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which is rather impressive for investors, thereby implying that momentum strategies are appropriate for trading the CSI300F as the implicit phenomena occurs. We suspect that implicit phenomena are likely to be the manipulation trace of investors with market force and even insiders. Thus, we argue for investors to consider the results when trading index futures.
關鍵字
語言 en_US
ISSN Print 1520-3255;Online 2168-8435
期刊性質 國外
收錄於 ESCI
產學合作
通訊作者
審稿制度 是
國別 USA
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/987654321/113691 )