The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
碩士 === 淡江大學 === 財務金融學系 === 91 === The purpose of this paper is using NASDAQ 100 index derivatives to discover the price lead-lag relationship among spot index, index futures and ETF. We use the closing price in minutes during the study period and classify these data into four time series：index-futur...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/38235559333673121773 |