A Study on the Announcement Effect of Changes in the TSEC Taiwan 50 Index, Interrelationships for the Effect and QFII, and Hedge Ratio as well as Hedge Performance of TSEC Taiwan 50 Index Cash and Futures:An Application of TGARCH Model
碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This study tries to investigate the stock price and trading volume effect of changes in the TSEC Taiwan 50 index by OLS+TGARCH(1,1) model, interrelationships for the effect and QFII by PANEL model, and hedge ratio as well as hedge performance of TSEC Taiwan 50 in...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2009
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Online Access: | http://ndltd.ncl.edu.tw/handle/27993923991685659267 |