- 期刊
企業轉投資與其系統風險關系之研究—臺灣紡織業與電子業之比較
The Relationship Between Firm's Systematic Risk and Its Long Term Investment — A Comparison for Fiber Industry and Electronics Industry in Taiwan
並列摘要
This paper uses a long memory model to analyze the MSCI Taiwan StockIndex Futures.We study the lead-lag relationship between Futures andSpots,and the charateristics of futures market.The findings in this studyindicate that Futures lead Spots one to five periods.Both futures and spotshave long memory.The futures market creats the price discovery function,arbitrage and hedge opportunity.
延伸閱讀
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