Price efficiency in futures and spot trading: The role of information technology
β Scribed by Martin Wagener; Dennis Kundisch; Ryan Riordan; Fethi Rabhi; Philipp Herrmann; Christof Weinhardt
- Book ID
- 113597814
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 621 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1567-4223
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π SIMILAR VOLUMES
## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched nonβKOSPI 200 stocks. Employing both an event study approach and a matchingβsampl
## Abstract Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dualβlisted on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollarβyen currency f
It is frequently argued that foreign investors have extrapolative expectations due to their informational disadvantages. That is, in the absence of other sources of information, foreigners revise their expectations on the future price of a domestic stock more in line with its current price change th