The Expiration-Day Effects of Stock Index Futures on Individual Stocks
碩士 === 淡江大學 === 財務金融學系碩士班 === 97 === The purpose of this thesis is to examine the influence of expiration day on index futures in Taiwan, the spot index and index constituent stock whether to have the abnormal return, volatility, trading volume, price reversal. This paper applies the bootstrap meth...
| 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/29710864746651607736 |