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Chinese Abstract: A股关联公司的股票动量溢出效应研究:...
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Chinese Abstract:...
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the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …
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around 5%. Compared with the Chinese market, the US stock market has a higher β and a lower volatility. The annualized excess …
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-announcement volatility of stock returns is not significantly different from the post-announcement volatility. The results also indicate that …
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Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...
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