Price Discovery and Pricing Efficiency of the Electronics Index Markets: Evidence from the Taiwan TAIEX Electronics Index
碩士 === 義守大學 === 財務金融學系碩士班 === 96 === Taiwan Electronics Tech ETF was issued on July 16, 2007. This article focuses on the relationship between Electronics index spot, Electronics index futures, and Taiwan Electronics Tech ETF after the issue of Taiwan Electronics Tech ETF. Using intraday data, this...
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| Format: | Others |
| Language: | zh-TW |
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2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61547272967739442635 |
| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 96 === Taiwan Electronics Tech ETF was issued on July 16, 2007. This article focuses on the relationship between Electronics index spot, Electronics index futures, and Taiwan Electronics Tech ETF after the issue of Taiwan Electronics Tech ETF. Using intraday data, this article studies the price discovery and the lead-lag relationship by cointergration and the vector error correction model. The results show that the futures market serves the dominant price discovery. In addition, using daily futures price and the theoretical futures price based on the cost of carry model, this article examines the problem whether the issue of the Taiwan Electronics Tech ETF can improve pricing efficiency. The results show pricing efficiency and mispricing have not been improved and corrected after the issue of the Taiwan Electronics Tech ETF.
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