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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

Price discovery in the Hang Seng Index markets : index, futures, and the tracker fund

So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 24 (2004) 9, pp. 887-907

Persistent link: https://www.econbiz.de/10002145997

Liquidity commonality and spillover in the US and Japanese markets : an intraday analysis using exchange-traded funds

Datar, Vinay T.; So, Raymond W.; Tse, Yiuman - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10003799582

A note on international portfolio diversification with short selling

So, Raymond W.; Tse, Yiuman - In: Review of quantitative finance and accounting 16 (2001) 4, pp. 331-321

Persistent link: https://www.econbiz.de/10001748058

Price discovery in the hang seng index markets: Index, futures, and the tracker fund

So, Raymond W.; Tse, Yiuman - In: Journal of Futures Markets 24 (2004) 9, pp. 887-907

In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng...

Persistent link: https://www.econbiz.de/10011197247

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

Price discovery in the hang seng index markets: Index, futures, and the tracker fund

So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 24 (2004) 9, pp. 887

Persistent link: https://www.econbiz.de/10006816688

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. 619-644

Persistent link: https://www.econbiz.de/10006842273

Rationality of Stock Splits: The Target-Price Habit Hypothesis

So, Raymond W.; Tse, Yiuman - In: Review of quantitative finance and accounting 14 (2000) 1, pp. 67-84

Persistent link: https://www.econbiz.de/10007182201

A Note on International Portfolio Diversification with Short Selling

So, Raymond W.; Tse, Yiuman - In: Review of quantitative finance and accounting 16 (2001) 4, pp. 311-322

Persistent link: https://www.econbiz.de/10007172620