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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修 | |
dc.contributor.author | Yi-Shan Lee | en |
dc.contributor.author | 李宜珊 | zh_TW |
dc.date.accessioned | 2021-06-17T00:36:40Z | - |
dc.date.available | 2017-03-19 | |
dc.date.copyright | 2012-03-19 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-02-01 | |
dc.identifier.citation | 1. 何峻銘(2004),「台灣指數股票型基金(ETFs):追蹤誤差、折溢價與交易現況」,國立中正大學,企業管理研究所。
2. 何文榮、曾見文(2007),「台灣50指數ETF價格發現之研究」,華人經濟研究院,第五卷,第一期,87-107頁 3. 洪惠娟(民92),「S&P500指數、期貨與ETF價格發現之研究」,私立淡江大學財務金融研究所碩士論文。 4. 唐婉崴(2003),「指數現貨、指數期貨與指數股票式基金間價格發現能力之探討-以NASDAQ 100指數商品為例」,淡江大學財務金融學系未出版博士論文。 5. 徐清俊、陳龍俊(2005),「台灣50指數、期貨與ETF價格發現之研究」,長榮大學學報,第九卷,第二期, 66-76頁。 6. 陳龍志(2005),台灣50期貨與ETF比較,南華大學財務管理研究所碩士論文。 7. 黃玉娟、徐守德(民86),「台股指數現貨與期貨市場價格動態關聯性研究」,證券市場發展季刊,第九卷第三期,21-30頁。 8. 鄭義林(2007),「日經指數與指數期貨市場間價格領先落後與相關性分析----使用高頻資料之實證結果」,國立中興大學高階經理人班碩士學位論文。 9. 謝文良(2002),「價格發現、資訊傳遞與市場整合-台股期貨市場的研究」,財務金融學刊,第十卷,1-31頁 10. 藍珮瑜(2011) ,「A50中國指數ETF與滬深300A股指數ETF之折溢價的資訊內涵與因果關係」,國立台灣大學管理學院財務金融研究所碩士論文 11. Abhyankar, A. H. (1995), “Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets,” The Journal of Futures Markets, Vol. 15, 457-488. 12. Ackert, L. F. and Y. S. Tian (2000),“Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts”, Financial Management, pp. 71-88. 13. Chan, K. (1992), “A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market”, Review of Financial Studies, Vol.5(1), pp.123-152. 14. Chiang, R. and W. Fong (2001), “Relative informational efficiency of Cash, Futures and Options Markets: The Case of an Emerging Market,” Journal of Banking & Finance, Vol.25, pp.355-375. 15. Chu, Q. C., W. G. Hsieh and Y. Tse (1999), “Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRs,” International Review of Financial-Analysis, Vol.8, pp.21-34. 16. Fleming, J., B., Ostdiek, and R.E. Whaley (1996), “Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets”, Journal of Futures Markets, 16, 353-387. 17. Hasbrouck, J. (2002), “Intraday Price Formation in U.S. Equity Index Markets,” The Journal of Finance, pp.1540-1626. 18. Jares, T. and A. M. Lavin (2002), “Japan and Hong Kong Exchange Traded Funds(ETFs) Discounts, Return and Trading Strategies”, Working Paper. 19. Maosen, Z., A.F. Darrat and R. Otero. (2004), “Price discovery and volatility spillovers in index fitires markets: Some evidence from Mexico”, Journal of banking and finance, Vol. 28, pp.3037-3054. 20. Quentin, C. Chu, W-L G. Hsieh and Y. Tse (1999) “Price discovery on the S&P 500 index markets:An analysis of spot index, index futures, and SPDRs”, International Review of Financial Analysis, Vol.8, pp.21-34 21. Stoll, H. R. and R. E. Whaley (1990), “The Dynamic of Stock Index and Stock Futures Return,” The Journal of Financial and Quantitative Analysis, Vol.25, pp.441-468. 22. Subrahmanyam, A. (1991), “A Theory of Trading in Stock Index Futures,” Review of Financial Studies, Vol.4, pp.17-51. 23. Thirumalai, R.S.(2003), “Active vs. Passive ETFs”, Job market paper. 24. Tswei, K., J-Y (2009), “Information contents misjudged: digressive convergence to equilibrium in conintegreated prices,” Review of Financial Economics, 18, pp.183-189. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66455 | - |
dc.description.abstract | 學界針對兩岸三地滬深300指數與ETF價格連動性、因果關係與價格發現之相關研究絕少著墨。此外,由於中國對境外投資人投資A股的限制以及境內投資人投資境外股市的限制,使在台灣發行的寶來標智滬深300ETF成為台灣投資人投資中國滬深300指數的最佳選擇。然因兩岸三地市場結構與交易限制等種種不同,使得滬深300指數與ETF在不同市場產生了可能存在的價格連動性與價格發現議題。本研究將以滬深300指數與ETF之市值與淨資產報酬率之日資料進行實證分析,探討兩岸三地淨市值因果關係與不同市場間的價格發現能力,結論結果發現,就滬深300ETF而言,無論是對於中國市場或香港市場,台灣市場均較具有價格發現能力。 | zh_TW |
dc.description.abstract | Studies analyzing and price relation, cause effect and price discovery of CSI300 ETF among greater China areas are rare presently. In addition, due to the difficulty and tight regulation in China’s stock market, WISE Polaris CSI 300 ETF, becomes the alternative choice for Taiwan investors who desire investing in CSI 300. Due to different markets with various market structures and trading regulations, the issues of price relationship and price discovery of CSI 300 index and ETF may exist. This article uses daily closing price and NAV data of CSI300 ETF in three greater China markets to examine their price relationship and price discovery. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T00:36:40Z (GMT). No. of bitstreams: 1 ntu-101-R98723083-1.pdf: 701679 bytes, checksum: cd0d8df9b9b4f9132d47fde6108f26e2 (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 壹 緒論 1
貳 文獻回顧 5 参 研究方法 10 肆 實證結果與分析 13 一 滬深300ETF與指數間之互動關係 13 二 非交易時段報酬與價格發現 20 伍 結論 31 | |
dc.language.iso | zh-TW | |
dc.title | 兩岸三地滬深300指數與ETF之價格連動性與價格發現力 | zh_TW |
dc.title | Price Discovery among CSI Index and ETF’s in the Greater China Areas | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-1 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 何耕宇 | |
dc.contributor.oralexamcommittee | 陳明賢 | |
dc.subject.keyword | 價格連動性,因果關係,價格發現,滬深300指數ETF, | zh_TW |
dc.subject.keyword | Price relation,cause effect,Price discovery,CSI300ETF, | en |
dc.relation.page | 34 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2012-02-02 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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