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    题名: Long Memory and Sampling Frequencies: Evidence in Stock Index Futures Markets
    作者: 謝淑貞
    Shieh,Shwu-Jane
    关键词: Long memory;detrended fluctuation analysis;contrarian strategy;ARFIMA (p, d, q)
    日期: 2006-03
    上传时间: 2008-12-03 13:48:20 (UTC+8)
    摘要: The long-term dependent behavior in the close prices of the S&P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian`s trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&P 500 and Dow Jones stock index futures contracts.
    關聯: International Journal of Theoretical and Applied Finance, 9(5), 787-799
    数据类型: article
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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