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題名:The Impact of Investor Sentiment on Bond ETF
書刊名:期貨與選擇權學刊
作者:郭家豪張龍福 引用關係謝銘璟
作者(外文):Guo, Jia-hauChang, Lung-fuHsieh, Ming-jing
出版日期:2022
卷期:15:3
頁次:頁45-76
主題關鍵詞:債券ETF折價投資人情緒溢價臺指選擇權波動率Bond ETFDiscountInvestor sentimentPremiumTaiwan VIX
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:5
期刊論文
1.Whaley, R. E.(2009)。Understanding the VIX。Journal of Portfolio Management,35,98-105。  new window
2.Antoniou, C.、Doukas, J. A.、Subrahmanyam, A.(2013)。Cognitive dissonance, sentiment, and momentum。Journal of Financial and Quantitative Analysis,48(1),245-275。  new window
3.Giot, Pierre(2005)。Relationships Between Implied Volatility Indexes and Stock Index Returns。Journal of Portfolio Management,31(3),92-100。  new window
4.Connolly, Robert、Stivers, Chris、Sun, Licheng(2005)。Stock Market Uncertainty and the Stock-Bond Return Relation。Journal of Financial & Quantitative Analysis,40(1),161-194。  new window
5.Chang, Chuang-Chang、Hsieh, Pei-Fang、Wang, Yaw-Huei(2010)。Information content of options trading volume for future volatility: Evidence from the Taiwan options market。Journal of Banking and Finance,34,174-183。  new window
6.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
7.Whaley, Robert E.(1993)。Derivatives on market volatility: Hedging tools long overdue。Journal of Derivatives,1(1),71-84。  new window
8.Whaley, Robert E.(2000)。The investor fear gauge。Journal of Portfolio Management,26(3),12-17。  new window
9.Conrad, Jennifer S.、Hameed, Allaudeen、Niden, Cathy(1994)。Volume and autocovariances in short-horizon individual security returns。The Journal of Finance,49(4),1305-1329。  new window
10.Chiu, J.、Chung, H.、Ho, K. Y.(2014)。Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market。Review of Pacific Basin Financial Markets and Policies,17(3),(1450017)1-(1450017)25。  new window
11.Gutierrez, J. A.、Martinez, V.、Tse, Y.(2009)。Where Does Return and Volatility Come from? The Case of Asian ETFs。International Review of Economics and Finance,18,671-679。  new window
12.Hung, Pi-Hsia(2016)。Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange。Pacific-Basin Finance Journal,39,124-140。  new window
13.Chung, S. L.、Liu, W. R.、Tsai, W. C.(2014)。The impact of derivatives hedging on the stock market: Evidence from Taiwan's covered warrants market。Journal of Banking & Finance,42,123-133。  new window
14.Simon, David P.、Wiggins, Roy A. III(2001)。S&P futures returns and contrary sentiment indicators。Journal of Futures Markets,21(5),447-462。  new window
15.Bai, Jushan、Perron, Pierre(1998)。Estimating and Testing Linear Models with Multiple Structural Changes。Econometrica,66(1),47-78。  new window
16.Bai, Jushan、Perron, Pierre(2003)。Computation and Analysis of Multiple Structural Change Models。Journal of Applied Econometrics,18(1),1-22。  new window
17.Kodres, L. E.、Pritsker, M.(2002)。A rational expectations model of financial contagion。Journal of Finance,57(2),769-799。  new window
18.Rompotis, G. G.(2010)。Does premium impact exchange-traded funds' returns? Evidence from iShares。Journal of Asset Management,11,298-308。  new window
19.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
20.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives,21(2),129-152。  new window
21.Yang, Chih-Yuan、Jhang, Ling-Jhen、Chang, Chia-Chien(2016)。Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market。Pacific-Basin Finance Journal,37,35-51。  new window
22.Aboody, D.、Even-Tov, O.、Lehavy, R.、Trueman, B.(2018)。Overnight returns and firm-specific investor sentiment。Journal of Financial and Quantitative Analysis,53(2),485-505。  new window
23.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
24.Csontó, B.(2014)。Emerging Market Sovereign Bond Spreads and Shifts in Global Market Sentiment。Emerging Markets Review,20,58-74。  new window
25.Fulkerson, J. A.、Jordan, S. D.、Riley, T. B.(2014)。Predictability in Bond ETF Returns。Journal of Fixed Income,23,50-63。  new window
26.Han, L.、Xu, Y.、Yin, L.(2018)。Does Investor Attention Matter? The Attention-Return Relationships in FX Markets。Economic Modelling,68(4),644-660。  new window
27.Smales, L. A.(2016)。Risk-on/Risk-off: Financial Market Response to Investor Fear。Finance Research Letters,17,125-134。  new window
研究報告
1.Cherry, J.(2004)。The Limits of Arbitrage: Evidence from Exchange Traded Funds。University of California。  new window
 
 
 
 
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