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Price discovery in the Hong Kong security markets: evidence from cointegration tests

✍ Scribed by Ling T. He

Book ID
117699590
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
933 KB
Volume
7
Category
Article
ISSN
1042-4431

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## Abstract Using one‐contract‐size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Go