Price discovery on the Taiwan 50 index market: an analysis of spot index, index futures, and ETF
碩士 === 萬能科技大學 === 經營管理研究所 === 95 === This paper investigates the price discovery function in three Taiwan 50 Index markets: spot index, index futures, and ETF markets. We use daily closing index prices data during 2003/06/30~2007/2/14. The Unit Root test, Cointegration test, EC-GJR GARCH model are a...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/76679094149037366711 |