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題 名 | ETF的價格發現與訊息傳遞--以美國證交所上市之QQQ為例=Price Discovery and Information Transmission of ETF--Empirical Study on QQQ Listed in AMEX |
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作 者 | 徐清俊; 吳柏炘; | 書刊名 | 德明學報 |
卷 期 | 23 2004.06[民93.06] |
頁 次 | 頁1-13 |
分類號 | 563.54 |
關鍵詞 | 股票指數型基金; 價格發現; 訊息傳遞; 共整合; 向量誤差修正模型; Exchange traded fund; ETF; Price discovery; Information transmission; Cointegration; Vector error correction model; VECM; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以美國證券交易所(AMEX)掛牌,以追蹤Nasdaq 100指數的ETF-QQQ日資料為例,探討ETF與股價指數間的價格發現與訊息傳遞過程。我們首先略述ETF的經濟功能,而模型顯示,ETF與股價指數存在一共同長期趨勢,兩市場形成共整合系統,相互參考其彼此的價格而調整當期的價格變化。在短期而言,經由衝擊反應分析與誤差變異數拆解可知,股價指數的價格反應領先ETF,但在七期(日)後及歸於收斂,兩者亦有正向關係。 |
英文摘要 | This article uses daily closing price data of QQQ listed in American Exchange (AMEX). To examine between ETF and stock index the process of the price discovery and information transmission. The empirical finding indicates that there has a long-term relationship between ETF and stock index. Two markets contribute cointegration system and adjusting the price by comparing both. In the short run, we can know by using impulse response analysis and variance decomposition analysis, the stock index lead to ETF. But the relationship will tend to convergence after 7-day periods. |
本系統中英文摘要資訊取自各篇刊載內容。