Price discovery and volatility spillover
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Tse, Yiuman
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Article
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1999
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John Wiley and Sons
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English
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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