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    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.
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    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:[Department of Finance] Theses

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