The Effects of Open Interest and Trading Volume on Futures Price and Volatility: The Moderate Effects of Position Limits
碩士 === 真理大學 === 管理科學研究所 === 96 === This study is to investigate the effects of open interest and trading volume on futures price and volatility by an EGARCH-ARJI model as position limits are taken as a moderating variable. The data of the daily prices, open interest and trading volume of TAIEX futur...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/14089682650441767303 |