A Study of the Effect of the Future Price Volatility on the Leveraged and Inverse ETFs Daily Return - Approach by Panel Smooth Transition Regression Model

• Main Authors: Yun-Ling Liu, 劉芸伶
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/43849570272910504279

碩士 === 淡江大學 === 財務金融學系碩士班 === 104 === This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the future price volatility variable. This research uses regression model to analyze the nonlinear impact of future price volatility on leveraged and inverse ETFs daily return in Taiwan. And we make the underlying index price, ETFs volume and future volume as independent variable. Empirical results show that future price volatility on most of leveraged and inverse ETFs of Taiwan''s market as significant smooth transition effects, and most of the ETFs whose underlying index price, ETFs volume and future volume significantly affects in leveraged and inverse ETFs daily return between any threshold.