Can stock market be more efficient after the introduction of electronic trading?The smooth transition error correction model
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === This paper employs smooth transition regression model, derived in Teräsvirta (1998), to investigate the non-linear relationship between spot prices and future prices of the stocks and using basis in stock market as threshold variable. The pre-SETS sample peri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82111991495842127672 |