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,...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2004
|
Online Access: | http://ndltd.ncl.edu.tw/handle/92200748527705422148 |