The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s
Intraday Price Discovery in the DJIA Index Markets
β Scribed by Yiuman Tse; Paramita Bandyopadhyay; Yang-Pin Shen
- Book ID
- 111105804
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 234 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0306-686X
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