English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51079335      Online Users : 911
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/81116


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/81116


    Title: 市場效率和投資人情緒：以期貨和現貨市場間的價格動態調整為例
    Market Efficiency and Investor Sentiment: Evidence from the Pricing Dynamics between Futures and Spot Markets
    Authors: 林楚彬
    Lin, Chu Bin
    Contributors: 周冠男
    Chou, Robin K.
    林楚彬
    Lin, Chu Bin
    Keywords: Information shares
    Investor sentiment
    Lead–lag relation
    Price discovery
    Date: 2015
    Issue Date: 2016-02-03 11:17:36 (UTC+8)
    Abstract: This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. As a consequence, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. My findings provide support for the theory of limits to arbitrage.
    Reference: Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533-553.
    Ates, A., Wang, G.H.K., 2005. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. Equity index futures markets. Journal of Futures Markets 25, 679-715.
    Back, K., 1993. Asymmetric information and options. Review of Financial Studies 6, 435-472.
    Baker, M., Wurgler, J., Yuan, Y., 2012. Global, local, and contagious investor sentiment. Journal of Financial Economics 104, 272-287.
    Baker, M. P., Wurgler, J.A., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
    Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307-343.
    Bekiros, S.D., Diks, C.G.H., 2008. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics 30, 2673-2685.
    Berger, D., Turtle, H.J., 2011. Emerging market crises and us equity market returns. Global Finance Journal 22, 32-41.
    Black, F., 1975. Fact and fantasy in the use of options. Financial Analysts Journal 31, 36-72.
    Bollerslev, T., Melvin, M., 1994. Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis. Journal of International Economics 36, 355-372.
    Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 82-90.
    Chan, K., 1992. A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies 5, 123-152.
    Cherian, J.A., Jarrow, R.A., 1998. Options markets, self-fulfilling prophecies, and implied volatilities. Review of Derivatives Research 2, 5-37.
    Cohen, K., Maier, S., Schwartz, R., Whitcomb, D., 1986. The Microstructure of Security Markets Prentice-Hall, Englewood Cliffs, NJ.
    De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395.
    Easley, D., O`Hara, M., Srinivas, P.S., 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465.
    Engle, R.F., Granger, C.W.F., 1987. Co-integration and error correction: Representation, estimation, and testing. Econometrica 55, 251-276.
    Eun, C.S., Sabherwal, S., 2003. Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. Journal of Finance 58, 549-576.
    Finnerty, J.E., Park, H.Y., 1987. Stock index futures: Does the tail wag the dog? Financial Analysts Journal 43, 57-61.
    Fleming, J., Ostdiek, B., Whaley, R.E., 1996. Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets 16, 353-387.
    French, K.R., Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5-26.
    Frino, A., Walter, T., West, A., 2000. The lead–lag relationship between equities and stock index futures markets around information releases. Journal of Futures Markets 20, 467-487.
    Gemmill, G., Thomas, D.C., 2002. Noise trading, costly arbitrage, and asset prices: Evidence from closed-end funds. Journal of Finance 57, 2571-2594.
    Glosten, L.R., 1987. Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance 42, 1293-1307.
    Gonzalo, J., Granger, C., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics 13, 27-35.
    Harris, L., 1989. A day-end transaction price anomaly. Journal of Financial and Quantitative Analysis 24, 29-45.
    Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175-1199.
    Hasbrouck, J., 2003. Intraday price formation in us equity index markets. Journal of Finance 58, 2375-2400.
    Hill, R.C., Griffiths, W.E., Lim, G.C., 2008. Principles of Econometrics. Wiley, Hoboken, NJ.
    Jones, C.M., Seguin, P.J., 1997. Transaction costs and price volatility: Evidence from commission deregulation. American Economic Review 87, 728-737.
    Käppi, J., 1997. Pricing of futures contracts on coupon bonds: Empirical evidence from Finland. European Financial Management 3, 321-332.
    Karlsson, N., Loewenstein, G., Seppi, D., 2009. The ostrich effect: Selective attention to information. Journal of Risk and Uncertainty 38, 95-115.
    Kawaller, I.G., Koch, P.D., Koch, T.W., 1987. The temporal price relationship between S&P 500 futures and the S&P 500 index. Journal of Finance 42, 1309-1329.
    Kurov, A., 2008. Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review 43, 107-127.
    Kurov, A., 2010. Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance 34, 139-149.
    Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.
    Mayhew, S., Sarin, A., Shastri, K., 1995. The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements. Journal of Finance 50, 1635-1653.
    McInish, T.H., Wood, R.A., 1992. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance 47, 753-764.
    Ng, N., 1987. Detecting spot prices forecasts in futures prices using causality tests. Review of Futures Markets 6, 250-267.
    Ng, V.K., Pirrong, S.C., 1996. Price dynamics in refined petroleum spot and futures markets. Journal of Empirical Finance 2, 359-388.
    Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
    Röthig, A., Chiarella, C., 2011. Small traders in currency futures markets. Journal of Futures Markets 31, 898-914.
    Schmeling, M., 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance 16, 394-408.
    Sharpe, W., Alexander, G., 1990. Investment. Prentice Hall, Englewood Cliffs, NJ.
    Shleifer, A., Vishny, R.W., 1997. The limits of arbitrage. Journal of Finance 52, 35-55.
    Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.
    Stoll, H.R., Whaley, R.E., 1990. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
    Wang, G.H.K., Michalski, R.J., Jordan, J.V., Moriarty, E.V., 1994. An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market. Journal of Futures Markets 14, 837-859.
    Wang, G.H.K., Yau, J., 2000. Trading volume, bid–ask spread, and price volatility in futures markets. Journal of Futures Markets 20, 943-970.
    Yu, J., Yuan, Y., 2011. Investor sentiment and the mean–variance relation. Journal of Financial Economics 100, 367-381.
    Yuan, Y., 2012. Market-wide attention, trading, and stock returns. SSRN working paper, 1105532.
    Description: 博士
    國立政治大學
    財務管理研究所
    98357502
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0983575021
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File SizeFormat
    502101.pdf1176KbAdobe PDF2685View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback