| dc.creator (作者) | 謝淑貞 | zh_TW |
| dc.creator (作者) | Shieh,Shwu-Jane | - |
| dc.date (日期) | 2006-03 | en_US |
| dc.date.accessioned | 3-Dec-2008 13:48:20 (UTC+8) | - |
| dc.date.available | 3-Dec-2008 13:48:20 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Dec-2008 13:48:20 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/12409 | - |
| dc.description.abstract (摘要) | The long-term dependent behavior in the close prices of the S&P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian`s trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&P 500 and Dow Jones stock index futures contracts. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | International Journal of Theoretical and Applied Finance, 9(5), 787-799 | en_US |
| dc.subject (關鍵詞) | Long memory; detrended fluctuation analysis; contrarian strategy; ARFIMA (p, d, q) | - |
| dc.title (題名) | Long Memory and Sampling Frequencies: Evidence in Stock Index Futures Markets | en_US |
| dc.type (資料類型) | article | en |
