Market Microstructure of Stock Index Futures

Market Microstructure of Stock Index Futures

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This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No...

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Bibliographic Details
Main Authors: 顏君晃, Yen, Chun-Huang
Language:英文
Published: 國立政治大學
Subjects:
Market Microstructure
Stock Index Futures
TAIFEX
U-shaped
intraday patterns
Online Access:http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0090351015%22.

Internet

http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0090351015%22.

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