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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
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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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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
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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
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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. 619-644
Persistent link: https://www.econbiz.de/10006842273
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10006816688
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Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds
Datar, Vinay; So, Raymond W.; Tse, Yiuman - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10008136516