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Price discovery process in the emerging sovereign CDS and equity markets

โœ Scribed by Ngene, Geoffrey M.; Kabir Hassan, M.; Alam, Nafis

Book ID
126786978
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
287 KB
Volume
21
Category
Article
ISSN
1566-0141

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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 large