The Expiration Effects of Index Futures-Intraday Return Reversal and Volatility
碩士 === 淡江大學 === 財務金融學系 === 92 === This thesis studies the expiration effect of Taiwan index futures to the underlying stock markets. Specifically, the study focuses on whether there is abnormal index return and volatility near the futures expiration. The study further examines for possible volume/vo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89947365781335518960 |