The informational efficiency of the market for options on the German stock index DAX is examined using intraday transactions data. Problems of previous studies on options-market efficiency, arising from dividend estimation and the early-exercise effect, are avoided, because the DAX is a performance
Persistence probabilities of the German DAX and Shanghai Index
β Scribed by F. Ren; B. Zheng; H. Lin; L.Y. Wen; S. Trimper
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 369 KB
- Volume
- 350
- Category
- Article
- ISSN
- 0378-4371
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