The Price Discovery of the Extended Trading Session in Taiwan Stock Index Futures Market
碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === This thesis is using GARCH model and Weighted Price Contribution to examine the price discovery of the extended trading sessions in the index futures market. The empirical results show that： (1) liquidity traders are prevalent during the post-close session,...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92200748527705422148 |