政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/74386
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113648/144635 (79%)
造訪人次 : 51590695      線上人數 : 668
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/74386


    題名: Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model
    作者: Lin, Shinn-Juh;Stevenson, Maxwell
    林信助
    貢獻者: 國貿系
    日期: 1999
    上傳時間: 2015-04-08 14:53:02 (UTC+8)
    摘要: Prices in spot and futures markets are contemporaneously related according to the theoretical Cost-of-Carry (COC) model. In the literature, on the other hand, futures index price changes are usually found to lead spot index prices changes by up to forty-five minutes. This empirical evidence, which confirms a non-contemporaneous relationship between price changes, has been argued to have implications for price discovery in both markets, as well as putting in question for the validity of the COC model. However, we note that it is price, rather than price change (or return), that is the variable of interest in the COC model. Price changes are used in the empirical studies, possibly because both spot and futures index prices are subject to the same impact from changes in market fundamentals and hence are cointegrated with each other. In this paper, it is shown how one can employ the wavelet analysis to reconstruct price series based only on a subset of information that differentiates the two fundamentally related prices. Such an analysis not only allows a focus on examining prices, but also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship still exists between spot and futures index prices. Such a relationshipis more persistent when more detailed information is used for price reconstruction. The implication of this result is that, if market imperfection is to be blamed for the non-contemporaneous relationship between index prices from the two markets, one should only concentrate on those imperfections that are likely to occur within very short time horizons.
    關聯: Studies in Nonlinear Dynamics and Econometrics, 5, 87-102
    資料類型: article
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML21010檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋