An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data
碩士 === 逢甲大學 === 財務金融學系碩士班 === 104 === This research is to explore the lead-lag relationships between spot, futures and options market of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).Fifteen-minute intraday data of spot, futures and options of TAIEX from January 2, 2006 to Decemb...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/z2d83p |