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Convergence to efficiency in FTSE-100 futures market
Lien, Da-hsiang Donald; Xiang, Ju - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 243-257
Persistent link: https://www.econbiz.de/10008665689
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Convergence to Efficiency in FTSE-100 Futures Market
Xiang, Ju - 2011
We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...
Persistent link: https://www.econbiz.de/10013131093
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The behaviour of spot and forward prices : evidences from hessian and sacking markets in West Bengal
Laha, Arindam; Sinha, Subhra - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 50-69
Persistent link: https://www.econbiz.de/10011420024
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A study of market efficiency and volatility in the Indian stock market, forex market and bullion market
Sarker, Debnarayan; Ghosh, Bikash Kumar - In: Finance India : the quarterly journal of Indian … 21 (2007) 3, pp. 987-1002
Persistent link: https://www.econbiz.de/10003567788
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Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets
Brenner, Robin James - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10001218112
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Algorithmic quoting, trading, and market quality in agricultural commodity futures markets
Hu, Zhepeng; Serra, Teresa; García, Philip - In: Applied economics 52 (2020) 58, pp. 6277-6291
Persistent link: https://www.econbiz.de/10012415989
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Informational dependency between spot and futures markets : evidence from Turkish foreign exchange markets
Lee, Yen-hsian; Ozun, Alper - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 99-108
Persistent link: https://www.econbiz.de/10010209490
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Modelling financial time series
Taylor, Stephen J. - 1986
Persistent link: https://www.econbiz.de/10000692464
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Gone in ten minutes : intraday evidence of announcement effects in the electronic corn futures market
Lehecka, Georg V.; Wang, Xiaoyang; García, Philip - In: Applied economic perspectives and policy 36 (2014) 3, pp. 504-526
Persistent link: https://www.econbiz.de/10011279818
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Time-varying long range dependence in energy futures markets
Sensoy, Ahmet; Hacihasanoglu, Erk - In: Energy economics 46 (2014), pp. 318-327
Persistent link: https://www.econbiz.de/10011298582