Cross-Sectional Analysis of Index and Commodity Markets Price Discovery
This study examines the determinants of relative price discovery between the futures and cash prices in 30 index and commodity markets based on the Gonzalo and Granger (1995) permanent-transitory decomposition methodology. Twenty-eight indexes and commodities have proportional futures market informa...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
2011-09-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20160212100435-9L7CV.pdf |