Similar Search Results

Narrow search

Price discovery in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 19 (1999) 6, pp. 619-643

Persistent link: https://www.econbiz.de/10001410389

An examination of intraday common volatility in the German index derivatives markets

So, Raymond W. - In: Journal of multinational financial management 7 (1997) 4, pp. 305-316

Persistent link: https://www.econbiz.de/10001242392

Intraday volatility spillovers in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W. - In: Applied financial economics 13 (2003) 7, pp. 487-494

Persistent link: https://www.econbiz.de/10001770769

Price discovery in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W.; Tse, Yiuman - In: Journal of Futures Markets 19 (1999) 6, pp. 619-643

This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially...

Persistent link: https://www.econbiz.de/10011198048