The Relative Price Between Index Spot And Index Futures Using MS-AR(1) Model
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === Because of the high liquidity and lower fee, the index futures become the favorable tools for the purpose of hedging, arbitraging and speculating. In this paper, we use the weekly data of spot price and futures price from the Taiwan Stock Exchange Capitaliz...
Main Authors: | Hsu-Ning Hu, 胡緒寧 |
---|---|
Other Authors: | Chien-Liang Chiu |
Format: | Others |
Language: | zh-TW |
Published: |
2007
|
Online Access: | http://ndltd.ncl.edu.tw/handle/jsgk6v |
Similar Items
-
The investigation of intraday price discovery relationships between index options and index futures or spot index
by: Chi-wen Hsu, et al.
Published: (2004) -
The Price Discovery Relationship among Taiwan Spot Index, Index tures, Taiwan 50 Spot Index and 50 Index Futures
by: Hsu hsin-yi, et al.
Published: (2005) -
The investigation of intraday relationship between MSCI index futures and spot prices
by: Lai, Rui-fen, et al.
Published: (1997) -
The Spot Volatility Estimations and the Pricing of Stock Index Futures
by: Hsiu-hui Chen, et al.
Published: (2004) -
Price discovery on the Taiwan 50 index market: an analysis of spot index, index futures, and ETF
by: tse yu_liao, et al.
Published: (2007)