CLUSTERING IN THE FUTURES MARKETS: EVIDENCE FROM TAIWAN STOCK EXCHANGE CAPITALIZATION WEIGHTED STOCK INDEX FUTURES

碩士 === 國立中正大學 === 財務金融所 === 95 === Theoretical research suggests that in the absence of market friction and bias, transaction prices should be uniformly distributed across all possible pricing grids (Niederhoffer, 1965;De Grauwe and Decupere, 1992). However, empirical evidence refutes this uniform d...

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Bibliographic Details
Main Authors: Hsueh-kai Hua, 華學凱
Other Authors: Chia-cheng Ho
Format: Others
Language:zh-TW
Published: 2007
Online Access:http://ndltd.ncl.edu.tw/handle/13756131188227673864