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題名:中國指數股票型基金投資組合策略分析
書刊名:商業法律與財金期刊
作者:黃健銘 引用關係潘建寶李靕富
作者(外文):Huang, Chien-mingPan, Jian-baoLee, Chen-fu
出版日期:2020
卷期:3:1
頁次:頁1-18
主題關鍵詞:中國ETF商品追蹤資料向量自我迴歸模型臨摹投資組合Chinese ETF commodityPanel VAR modelMimicking portfolio
原始連結:連回原系統網址new window
相關次數:
  • 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:4
期刊論文
1.Pan, M. S.、Hsueh, P. L.(1998)。Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets。Asia-Pacific Financial Markets,5(3),211-225。  new window
2.Hegde, Shantaram P.、McDermott, John B.(2004)。The market liquidity of Diamonds, Q's, and their underlying stocks。Journal of Banking and Finance,28(5),1043-1067。  new window
3.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on bonds and stocks。Journal of Financial Economics,33(1),3-56。  new window
4.Chou, Robin K.、Chung, Huimin(2006)。Decimalization, Trading Costs and Information Transmission between ETFs and Index Futures。Journal of Futures Markets,26(2),131-151。  new window
5.De Winne, Rudy、Gresse, Carole、Platten, Isabelle(2014)。Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index。International Review of Financial Analysis,34,31-43。  new window
6.Fung, J. W. K.、Lau, F.、Tse, Y.(2015)。The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks。Journal of Futures Markets,35(10),939-952。  new window
7.Tseng, Y. C.、Lee, W. C.(2016)。Investor sentiment and ETF liquidity-evidence from Asia markets。Advances in Management and Applied Economics,6(1),89-111。  new window
8.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
9.Shum, P. M.、Kang, J.(2013)。Leveraged and Inverse ETF Performance during the Financial Crisis。Managerial Finance,39(5),476-508。  new window
10.Tse, Y.(2012)。The Relationship among agricultural futures, ETFs, and the US stock market。Review of Futures Markets,20(2),141-159。  new window
11.Shank, C. A.、Vianna, A. C.(2016)。Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach。RESEARCH IN INTERNATIONAL BUSINESS AND Finance,38,430-438。  new window
12.Staer, A.(2017)。Fund flows and underlying returns: The case of ETFs。INTERNATIONAL Journal of Business,22(4),275-304。  new window
13.Ivanov, S.(2016)。Analysis of the factors impacting ETFs net fund flow changes。STUDIES IN Economics and Finance,33(2),244-261。  new window
14.Osterhoff, F.、Kaserer, C.(2016)。Determinants of tracking error in German ETFs--The role of market liquidity。MANAGERIAL FINANCE,42(5),417-437。  new window
15.Da, Z.、Shive, S.(2018)。Exchange Traded Funds and Asset Return Correlations。European Financial Management,24(1),136-168。  new window
16.Wang, J.、Kang, H.、Xia, F.、Li, G.(2018)。Examining the equilibrium relationship between the Shanghai 50 stock index futures and the Shanghai 50 ETF options markets。Emerging Markets Finance and Trade,54(11),2557-2576。  new window
17.Thanakijsombat, T.、Kongtoranin, T.(2018)。Performance and diversification benefits of foreign-equity ETFs in emerging markets。APPLIED ECONOMICS LETTERS,25(2),125-129。  new window
18.蔡永順、紀建平、林惠珍(20131200)。臺灣股票型基金的風險分散與相關性。南開學報,10(2),41-51。  延伸查詢new window
19.Schmidhammer, C.、Lobe, S.、Röder, K.(2014)。The real benchmark of DAX index products and the influence of information dissemination: A natural experiment。JOURNAL OF ASSET Management,15(2),129-149。  new window
20.Milonas, N. T.、Rompotis, G. G.(2015)。The performance of German fixed-income ETFs: in the presence of the debt crisis。AESTIMATIO: THE IEB INTERNATIONAL JOURNAL OF FINANCE,11,46-77。  new window
21.Blazsek, S.、Ho, H. C.、Liu, S. P.(2018)。Score-driven Markov-switching EGARCH models: an application to systematic risk analysis。APPLIED ECONOMICS,50(56),6047-6060。  new window
研究報告
1.Sarr, A.、Lybek, T.(2002)。Measuring liquidity in financial markets。INTERNATIONAL MONETARY Fund。  new window
學位論文
1.Kono, P.(2008)。Exchange-Traded Funds: An Innovative way to Diversify Portfolios Maximizing Returns and/or Minimizing Risks(博士論文)。Nova Southeastern University。  new window
 
 
 
 
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