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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/81116


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/81116


    題名: 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
    作者: 林楚彬
    Lin, Chu Bin
    貢獻者: 周冠男
    Chou, Robin K.
    林楚彬
    Lin, Chu Bin
    關鍵詞: Information shares
    Investor sentiment
    Lead–lag relation
    Price discovery
    日期: 2015
    上傳時間: 2016-02-03 11:17:36 (UTC+8)
    摘要: 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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    描述: 博士
    國立政治大學
    財務管理研究所
    98357502
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0983575021
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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