A STUDY OF THE PRICE DISCOVERY AMONG TAIWAN STOCK INDEX, TAIWAN STOCK INDEX FUTURES AND MSCI TAIWAN STOCK INDEX FUTURES--APPLICATIONS OF THRESHOLD MODELS
碩士 === 南華大學 === 財務管理研究所 === 95 === Previous analyses using linear approach had failed to describe the asymmetrical dynamics between stock index and stock index futures. This study uses the threshold cointegration model and the multiple threshold model to investigate the asymmetry of long-run equ...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6k78fa |