A Study of Price Discovery on the S&P 500 Index, Future and the ETF Markets
碩士 === 淡江大學 === 財務金融學系 === 92 === Abstract: The purpose of this paper is to find out and compare with price discovery in three S&P500 index markets: the spot index, the index futures, and the ETF. We use every five minutes as intraday trading data and totally16894 transactions, da...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68030851415707634825 |