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Index arbitrage with heterogeneous investors : a smooth transition error correction analysis
Tse, Yiuman - In: Journal of banking & finance 25 (2001) 10, pp. 1829-1855
Persistent link: https://www.econbiz.de/10001608847
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Price discovery and volatility spillovers in the DJIA index and futures markets
Tse, Yiuman - In: The journal of futures markets 19 (1999) 8, pp. 911-930
Persistent link: https://www.econbiz.de/10001443476
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Market micicrostructure of FT-SE 100 Index futures : an intraday empirical analysis
Tse, Yiuman - In: The journal of futures markets 19 (1999) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10001377554
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Order imbalance in the FTSE index futures market : electronic versus open outcry trading
Ning, Zi; Tse, Yiuman - In: Journal of business finance & accounting : JBFA 36 (2009) 1/2, pp. 230-252
Persistent link: https://www.econbiz.de/10003822199
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The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures
Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H. K. - In: Managerial finance 38 (2012) 8, pp. 752-767
Persistent link: https://www.econbiz.de/10009568698
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The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks
Fung, Joseph K. W.; Lau, Francis; Tse, Yiuman - In: The journal of futures markets 35 (2015) 10, pp. 939-952
Persistent link: https://www.econbiz.de/10011392705
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The informativeness of trades and quotes in the FTSE 100 index futures market
Frijns, Bart; Tse, Yiuman - In: The journal of futures markets 35 (2015) 2, pp. 105-126
Persistent link: https://www.econbiz.de/10011348464
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Effects of electronic trading on the Hang Seng Index futures market
Fung, Joseph K. W.; Lien, Da-hsiang Donald; Tse, Yiuman; … - In: International review of economics & finance : IREF 14 (2005) 4, pp. 415-425
Persistent link: https://www.econbiz.de/10003195716
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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
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How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options
Cheng, Kevin H. K.; Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 25 (2005) 4, pp. 375-398
Persistent link: https://www.econbiz.de/10002647868