scroll to top
Loading icon
0

Mobile Menu

Header Layout

EBSCO Auth Banner

Let's find your institution. Click here.

Page title

Advanced Search Results For "finance"

1 - 10 of 323 results for
 "finance"
Results per page:

透過信用違約交換報價與公司債殖利率萃取流動性風險 因子之探討.

Publication Type:Academic Journal

Source(s):NTU Management Review. Apr2022, Vol. 32 Issue 1, p1-43. 43p.

Abstract:本研究選取兩種資料:單純的美國信用違約交換市場買賣報價資料;另外就是結合美 國信用違約交換買賣報價資料與相關公司債殖利率的資料。透過無損卡爾曼濾波估計 法,在平方根隨機過程的信用風險模型設定下,我們估計出兩種違約因子。之後,再 將信用違約交換資料進行主成分分析,然後用第一主成分與兩種違約因子進行迴歸, 而萃取出兩個新流動性風險因子。經過實證分析結果得知:這兩個新流動性風險因子 確實為可作為流動性風險代理變數,但是結合信用違約交換報價與債券殖利率所求算 出來的新流動性因子,其解釋能力比單純透過信用違約...

View details

賭博偏好、交易型態與樂透股超額報酬共變的關聯性.

Publication Type:Academic Journal

Source(s):NTU Management Review. Dec2021, Vol. 31 Issue 3, p85-159. 75p.

Abstract:本文探討臺灣股市法人與散戶交易是否造成樂透股超額報酬共變,以日內逐筆委託衡 量交易型態,包含委託比率、急單比率與買賣超共變,對於「散戶是造成樂透股超額 報酬共變主要來源」提供直接證據。我們發現: (1) 散戶交易集中在樂透股,不僅 交易頻繁、下單積極,會對不同樂透股一起買賣超,當散戶對樂透股買賣超共變增加, 樂透股超額報酬共變會提高。 (2) 有些法人也會交易樂透股,但下單比率低,而且 法人交易會減弱樂透股超額報酬共變。 (3) 當整體市場投機氛圍提高 (如市場情緒 高漲、不關注樂透、農曆新年期間、...

View details

選擇權隱含波動率偏斜價差交易之 應用方法與實證研究 — 以台指選擇權為例.

Publication Type:Academic Journal

Source(s):Commerce & Management Quarterly. Mar2022, Vol. 23 Issue 1, p1-45. 45p.

Abstract:標的資產價格波動率為選擇權定價與避險的重要影響因素, 也是唯一無法直接觀 察取得的參數, 因而必須使用一有效估計方法以估測其值, 目前主要的估計方法為歷 史波動率法與隱含波動率法, 多數學者認為隱含波動率應是未來波動率的最佳估計 值, 使得隱含波動率被學術界及實務界廣泛應用於選擇權評價。然而, 根據一系列相 同標的資產選擇權契約所推算出之隱含波動率往往因買權與賣權或履約價格不同有 所差異, 而且這些差異有時會呈現特定的偏斜現象。雖然隱含波動率差異形成原因仍 待深入探究, 不過, 波動率差異的出現應即...

View details

股市政策與中國證券業近期之 生產力動態績效研究.

Publication Type:Academic Journal

Source(s):Taiwan Economic Forecast & Policy. Mar2022, Vol. 52 Issue 2, p1-48. 48p.

Abstract:滬港通政策導致 2015 年中國股市巨幅交易量, 推升了股市之規模。不 過, 此政策對中國證券業生產力績效之影響仍缺乏深入的研究。本文旨在衡 量中國證券商近期之動態效率、技術進步及生產力等績效, 並探討政策實施 對不同特性證券商之績效影響。我們應用 2009 至 2017 年共 80 家證券商進 行實證。研究結果發現: 證券商之績效深受股市政策影響,「滬港通」政策之 實施非但提升了中國股市規模, 亦有效提高了證券商的經營績效。而中國證 券業的生產力變動主要係源自純技術效率之變動, 兩者在研究期間變動...

View details

极端行情下中国股市社团结构及系统性风险分析.

Publication Type:Academic Journal

Source(s):Journal of Northeastern University (Natural Science). Oct2020, Vol. 41 Issue 10, p1500-1508. 9p.

Abstract:以 2008ꎬ2015 年国内两次股灾为背景ꎬ分别构建股灾前、中、后的中国股市网络社团结构. 基于网 络中心性构建节点系统重要性及股市系统性风险指标ꎬ分析各时期网络社团内核心股票、行业、股票组合及其变 化ꎬ探究系统性风险与网络拓扑指标、宏观经济指标的相关性. 结果表明:股灾期间ꎬ工业板块受挫严重ꎬ原材料、 金融地产、医药卫生板块发挥护盘及修复股指的作用ꎻ发现 3 种特殊的社团结构及部分社团间出现相互融合的 趋势ꎻ在股指极端波动时期ꎬ中国股市系统性风险与部分网络拓扑指标及宏观经济指标具有显著相关性. ...

View details

农村金融助力乡村振兴——机制分析与效率评价. (Chinese)

Publication Type:Academic Journal

Source(s):Acta Agriculturae Zhejiangensis; Jul2022, Vol. 34 Issue 7, p1558-1570, 13p

Abstract:Copyright of Acta Agriculturae Zhejiangensis is the property of Acta Agriculturae Zhejiangensis Editorial Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permi...

View details

民族村寨旅游开发主体间的合作机制分析. (Chinese)

Publication Type:Academic Journal

Source(s):Journal of Yangtze Normal University; Jul2022, Vol. 38 Issue 4, p56-64, 9p

Abstract:Copyright of Journal of Yangtze Normal University is the property of Journal of Yangtze Normal University Editorial Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express wri...

View details

负荷频繁波动情景下梯级水电站实时调度策略. (Chinese)

Publication Type:Academic Journal

Source(s):Electric Power Automation Equipment / Dianli Zidonghua Shebei; Jul2022, Vol. 42 Issue 7, Following p205-260, 11p

Abstract:Copyright of Electric Power Automation Equipment / Dianli Zidonghua Shebei is the property of Electric Power Automation Equipment Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder'...

View details

Multi-Scale Stock Prediction Based on Deep Transfer Learning. (English)

Publication Type:Academic Journal

Source(s):Journal of Computer Engineering & Applications; Jun2022, Vol. 58 Issue 12, p249-259, 11p

Abstract:Copyright of Journal of Computer Engineering & Applications is the property of Beijing Journal of Computer Engineering & Applications Journal Co Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the cop...

View details

皇竹草厌氧发酵特性及稀土元素溶出研究. (Chinese)

Publication Type:Academic Journal

Source(s):Advances in New & Renewable Energy; Jun2022, Vol. 10 Issue 3, p225-232, 8p

Abstract:Copyright of Advances in New & Renewable Energy is the property of Editorial Office of Advances in New & Renewable Energy and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express writ...

View details

banner_970x250 (970x250)

sponsored