| dc.contributor | 政大財管系 | en_US |
| dc.creator (作者) | 張佳菁;陳聖賢;周冠男;辛敬文 | zh_TW |
| dc.creator (作者) | Chang, Chia-Ching;Chen, Sheng-Syan; Chou, Robin K. ;Hsin, Chin-Wen | en_US |
| dc.date (日期) | 2011-03 | en_US |
| dc.date.accessioned | 12-Dec-2013 17:11:51 (UTC+8) | - |
| dc.date.available | 12-Dec-2013 17:11:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Dec-2013 17:11:51 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/62432 | - |
| dc.description.abstract (摘要) | The main purpose of this paper is to study the intraday return spillovers and their real time variations amongst selected technology stocks. Based upon randomly selected technology stocks in terms of multilateral analysis, we find the following evidence. Firstly, we find that positive spillover effects are discernible amongst medium- and large-sized stocks, with the effects being directionally asymmetric between different size groups. Secondly, we find that for most stocks, the full effects of the firm-specific shocks over other stocks are realized within approximately 30 min to 2 h. Finally, we show that the spillover effects tend to follow an M-shaped intraday pattern. Our results suggest that during the opening and closing sessions, trades motivated by information spilled over from other firms are relatively subordinated, with the trading at these times being largely dominated by those based upon common market factor or firm-specific fundamental information. | en_US |
| dc.format.extent | 640479 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Review of Quantitative Finance and Accounting, 36(3), 355-390 | en_US |
| dc.subject (關鍵詞) | Aggregate shock model;Intraday variation;Spillover effect | en_US |
| dc.title (題名) | Intraday Return Spillovers and Its Variations across Trading Sessions | en_US |
| dc.type (資料類型) | article | en |
