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The impact of transaction costs on price discovery : evidence from cross-listed stock index futures contracts
Frino, Alex; West, Andrew - In: Pacific-Basin finance journal 11 (2003) 2, pp. 139-151
Persistent link: https://www.econbiz.de/10001758257
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Multi-market trading and patterns in volume and mispricing : the case of the Nikkei stock index futures markets
Vila, Anne Fremault; Obiyathulla Ismath Bacha - In: Journal of international financial markets, … 6 (1996) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10001498268
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Trading with tigers : a technical analysis of Southeast Asian stock index futures
Heng, Panha; Niblock, Scott J. - In: International economic journal 28 (2014) 4, pp. 679-692
Persistent link: https://www.econbiz.de/10010504177
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Asymmetric mispricing and regime-dependent dynamics in index futures and options markets
Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65
Persistent link: https://www.econbiz.de/10011525887
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Selecting an index for a stock index futures contract : an analysis of the Singapore market
Tay, Anthony S. A. - In: Review of futures markets 10 (1993) 3, pp. 412-431
Persistent link: https://www.econbiz.de/10001143662
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Nonlinear dynamics of the Nikkei Stock Average Futures
Tse, Yiu Kuen - In: Financial engineering and the Japanese markets 2 (1995) 3, pp. 181-195
Persistent link: https://www.econbiz.de/10001203355
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SIMEX Nikkei futures spreads and their determinants
Ding, David K. - In: Advances in Pacific Basin financial markets 3 (1997), pp. 39-53
Persistent link: https://www.econbiz.de/10001243753
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Regulatory changes and information competition : the case of Taiwan index futures
Hsieh, Wen-Liang Gideon - In: The journal of futures markets 24 (2004) 4, pp. 399-412
Persistent link: https://www.econbiz.de/10002005397
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A tale of two index futures : the intraday price discovery and volatility transmission processes between the China financial futures exchange and the Singapore exchange
Guo, Biao; Han, Qian; Liu, Maonan; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 197-212
Persistent link: https://www.econbiz.de/10010258907
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A Tale of Two Index Futures : The Intraday Price Discovery and Volatility Transmission Processes between the China Financial Futures Exchange and the Singapore Exchange
Han, Qian - 2012
Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November … 2011, we found that China's CSI 300 index futures dominated Singapore's A50 index futures in terms of the price discovery … 300 futures market also dominates its Singapore counterpart in the intraday volatility transmission process. These results …
Persistent link: https://www.econbiz.de/10013108922