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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Impact of foreign-listed single stock futures on the domestic underlying stock markets


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62031


    Title: Impact of foreign-listed single stock futures on the domestic underlying stock markets
    Authors: Hung MW;Lee CF;So LC
    教師: 索樂晴
    Date: 2003
    Publisher: Taylor & Francis
    Relation: Applied Economics Letters,Taylor & Francis, Volume 10, Issue 9 July 2003 , pages 567 - 574
    Keywords: INDEX FUTURES
    UNITED-STATES
    VOLATILITY
    Abstract: Results show that the introduction of the foreign listed SSF contracts seems to have more explanatory power with respect to the higher volatility of their domestic spot markets than the announcement of the SSF contracts. Also, for two of the nine securities, the daily activity shocks of the foreign-listed SSFs are responsible for the higher conditional volatility of their home underlying stocks, while the activity that is forecastable but highly variable across days diminishes the conditional volatility of the underlying stocks.
    URI: www.tandf.co.uk
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62031
    Appears in Collections:[計量財務金融學系] 期刊論文

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