完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chui Chun Tsai | |
dc.contributor.author | Tsun Siou Lee | |
dc.date.accessioned | 2020-08-25T08:00:06Z | - |
dc.date.available | 2020-08-25T08:00:06Z | - |
dc.date.issued | 2017/02/01 | |
dc.identifier.issn | issn18190917 | |
dc.identifier.uri | http://dspace.fcu.edu.tw/handle/2376/2732 | - |
dc.description.abstract | This paper empirically investigates the liquidity-adjusted Value-at-Risk (LaVaR) of TWSE Leverage/Inverse ETFs using the Hellinger distance measure by sensitizing endogenous liquidity risk with trade sizes at 1%, 3%, and 6%. By incorporating adjusted exogenous and endogenous liquidity risk, we find that LaVaR produces more accurate risk estimates and increases with trade size. The practical failure rates of all ETFs are largely consistent with their theoretical failure rates. Despite the use of different empirical models, China ETFs have a higher risk level than Taiwan ETFs in both bullish and bearish markets. | |
dc.description.sponsorship | 逢甲大學 | |
dc.language.iso | 英文 | |
dc.relation.ispartofseries | 經濟與管理論叢 | |
dc.relation.ispartofseries | 第13卷第1期 | |
dc.subject | LaVaR | |
dc.subject | TWSE leverage/inverse ETFs | |
dc.subject | hellinger distance measure | |
dc.subject | exogenous liquidity ris | |
dc.title | Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs: A Hellinger Distance Measure Research | |
dc.type | 期刊篇目 | |
分類: | 第 13卷第1期 |
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