| dc.creator (作者) | Tu, Anthony H. ;Ming-Chun Wang | en_US |
| dc.creator (作者) | 杜化宇 | - |
| dc.date (日期) | 2007-04 | en_US |
| dc.date.accessioned | 5-十一月-2008 16:54:06 (UTC+8) | - |
| dc.date.available | 5-十一月-2008 16:54:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-十一月-2008 16:54:06 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/6096 | - |
| dc.description.abstract (摘要) | The effect of the initiation of e-mini stock index futures (ESIFs) on the volatility components of S&P 500 stock index futures is herein investigated. The study decomposes S&P 500 stock index-related observed volatilities into unobserved fundamental volatility and transitory noise and utilizes the decomposition to test two hypotheses: the “clientele factor hypothesis” and the “information adjustment hypothesis”. The first hypothesis proposes that the ESIFs attract more noisy traders who prefer trading the friendly-size futures contracts. The second one proposes that the innovations of ESIFs improve the information flow of the futures markets. Using a stochastic volatility model, the empirical results are consistent with both of our proposed hypotheses. | - |
| 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) | Journal of International Financial Markets,Institutions and Money, 17(2), 198-211 | en_US |
| dc.subject (關鍵詞) | Stock index futures; Kalman filter; Stochastic volatility model | - |
| dc.title (題名) | The Innovations of E-mini Contracts and Futures Price Volatility Components? The Empirical Investigation of S&P 500 Stock Index Futures | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.intfin.2005.11.001 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.intfin.2005.11.001 | en_US |
