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Market quality and price discovery: introduction of the E-mini energy futures
Tse, Yiuman; Xiang, Ju - In: Global finance journal 16 (2005) 2, pp. 164-179
Persistent link: https://www.econbiz.de/10003203121
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Efficiency of single-stock futures : an intraday analysis
Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 28 (2008) 6, pp. 518-536
Persistent link: https://www.econbiz.de/10003714981
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Efficiency of single-stock futures : an intraday analysis
Fung, Joseph K. W.; Tse, Yiuman - 2007
Persistent link: https://www.econbiz.de/10003682741
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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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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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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
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Price discovery in the foreign exchange futures market
Tse, Yiuman; Xiang, Ju; Fung, Joseph K. W. - In: Journal of Futures Markets 26 (2006) 11, pp. 1131-1143
Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the...
Persistent link: https://www.econbiz.de/10011197715
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Round-the-clock market efficiency and home bias : evidence from the international Japanese government bonds futures markets
Tse, Yiuman - In: Journal of banking & finance 23 (1999) 12, pp. 1831-1860
Persistent link: https://www.econbiz.de/10001428994
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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