The Information Content of end and beginning-of-the-day Index Futures Trading
碩士 === 輔仁大學 === 金融研究所 === 87 === This study investigates the lead-lag relationship of SIMEX MSCI Taiwan index and Nikkei 225 index futures and spot returns at the daily closing and opening session of trading by employing the Generalizing Method of Moments(GMM). Then we use the leading futures prices...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/16003002375444000005 |