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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/12409

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12409

Title:	Long Memory and Sampling Frequencies: Evidence in Stock Index Futures Markets
Authors:	謝淑貞 Shieh,Shwu-Jane
Keywords:	Long memory;detrended fluctuation analysis;contrarian strategy;ARFIMA (p, d, q)
Date:	2006-03
Issue Date:	2008-12-03 13:48:20 (UTC+8)
Abstract:	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.
Relation:	International Journal of Theoretical and Applied Finance, 9(5), 787-799
Data Type:	article
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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