The LaVaR Investigation on Taiwan ETFs

The LaVaR Investigation on Taiwan ETFs

碩士 === 靜宜大學 === 會計學系 === 105 === This study applies the empirical concepts of Bangia et al.(1999) and Al Janabi (2008,2010,2012) to test the LaVaR on TWSE leverage ETFs and inverse ETFs. The findings from September 1, 2014 to May 31, 2016 by 15 ETFs are as followings: (1) The traditional VaR shows t...

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Bibliographic Details
Main Authors: CHENG, YA-WEN, 鄭雅文
Other Authors: TSAI,CHUI-CHUN
Format: Others
Language:zh-TW
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/83485676019742299027
Description
Summary:碩士 === 靜宜大學 === 會計學系 === 105 === This study applies the empirical concepts of Bangia et al.(1999) and Al Janabi (2008,2010,2012) to test the LaVaR on TWSE leverage ETFs and inverse ETFs. The findings from September 1, 2014 to May 31, 2016 by 15 ETFs are as followings: (1) The traditional VaR shows the maximum value are including " Taiwan 50 general index", "CSI 300 leverage index", "SSE 180 leverage index", "SSE 50 leverage index" and “S&P 500 leverage index". (2) The LaVaR shows the maximum value are including " Taiwan 50 leverage index", "CSI 300 inverse index", "SSE 180 inverse index", "SSE 50 leverage index" and “S&P 500 general index"

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