The Maturity Effect and Volume Effect of the Future：the Application CARR Model
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === The study examines the maturity effect and volume effect of the price volatility of the futures. The daily price range of S&P 500 index futures are applied in this study. The daily price range is further divided into the up-range and the down-range, and the s...
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2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ehg34u |
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ndltd-TW-094MCU052140062018-04-10T17:13:14Z http://ndltd.ncl.edu.tw/handle/ehg34u The Maturity Effect and Volume Effect of the Future：the Application CARR Model 期貨波動性之到期效應與交易量效應：變幅模型之應用 HSIAO-LIN CHENG 鄭曉琳 碩士 銘傳大學 財務金融學系碩士班 94 The study examines the maturity effect and volume effect of the price volatility of the futures. The daily price range of S&P 500 index futures are applied in this study. The daily price range is further divided into the up-range and the down-range, and the stylish effects differences between before and after the 911 are also discussed. The empirical results show that price range provides more information contents than the daily closing price; and the down-range data demonstrate more significant maturity effects, especially after the 911. Heng-Chih Chou 周恆志 2006 學位論文 ; thesis 55 zh-TW |
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NDLTD |
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zh-TW |
| format |
Others
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NDLTD |
| description |
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === The study examines the maturity effect and volume effect of the price volatility of the futures. The daily price range of S&P 500 index futures are applied in this study. The daily price range is further divided into the up-range and the down-range, and the stylish effects differences between before and after the 911 are also discussed. The empirical results show that price range provides more information contents than the daily closing price; and the down-range data demonstrate more significant maturity effects, especially after the 911.
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| author2 |
Heng-Chih Chou |
| author_facet |
Heng-Chih Chou HSIAO-LIN CHENG 鄭曉琳 |
| author |
HSIAO-LIN CHENG 鄭曉琳 |
| spellingShingle |
HSIAO-LIN CHENG 鄭曉琳 The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| author_sort |
HSIAO-LIN CHENG |
| title |
The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| title_short |
The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| title_full |
The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| title_fullStr |
The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| title_full_unstemmed |
The Maturity Effect and Volume Effect of the Future：the Application CARR Model |
| title_sort |
maturity effect and volume effect of the future：the application carr model |
| publishDate |
2006 |
| url |
http://ndltd.ncl.edu.tw/handle/ehg34u |
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