Autocorrelation & Cross-autocorrelation in Asset’s Return:Caused by nonsynchronous trading and transaction cost
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === Since the publication of Fama’s paper “Efficient Capital Markets” in 1970 , the aotocorrelation & cross-autocorrelation in asset’s return are still the weakness for market efficiency in empirical study . Nonsynchronous trading and transaction cost hypothe...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89509495934796639582 |