weighted implied volatilities of various S&P500 index options and reflects the degree of in Table 3. The results show that the ranges of Dow Jones, NASDAQ, and S&P500 indices are
impacts of carbon emission ETFs, industrial ETFs, and S&P500 indexes, thus enhancing the values of XLI with carbon ETFs and S&P500 index are larger, which indicate the higher
will have the effect of helping the S&P500 rise and fall, and gold can indeed be used as a 指數之外溢效應 Spillover Effect of the US Dollar Index, Gold, and Oil on the S&P500 Index
cumulative distribution function of R for , and denote the biggest rise/fall in return (the prices for index futures on the S&P500 in CME, FTSE100 in LIFFE, and NIKKEI225 in SIMEX are
derived from the difference in market rise and market fall periods. Ramchand and Susmel (1998b the variance of Rm*, respectively. σi and σm are the standard deviations of Ri* and Rm
bonds and stockindices in the U.S. (S&P500 futures and options on April 21, 1982 and January of the S&P 500 futures, suggest that the S&P 100 options and the S&P 500 futuresare not
futures contracts for the S&P 500.....9 Figure 2-2 Dollar volume of E-mini and regular futures only one-fifth, one-fifth and one-half of the regular futures contracts for the S&P 500
the last three days of settlement is bigger, but if change the S & P500 index futures anomalies before the maturity of the futures market and increase the liquidity of the spot
) regression of the future S&P 500 excess returns on volatility spread, implied variance, Vt , and Lee Yuan-Hao 38Ofek, E., Richardson, M. 2003. Dotcom mania: the rise and fall of
-balancing mechanism and observed the S&P500 index. The results show that the tracking error of Dow Jones, S&P500 and Nasdaq have also issued ETF products in succession. Judging from the
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