The Nonlinear Dynamic Relationship Between the TAIEX index Futures and Spot Before and After the Introduction of Taiwan 50 ETF: Threshold VECM Approach
碩士 === 國立交通大學 === 財務金融研究所 === 93 === This article investigates the nonlinear dynamic relationship between the index futures and the underlying index, and the effect of creation of tracking stocks on the cash-futures pricing relationship. Using the threshold error correction model (TVECM), we estimat...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28417680728596478037 |