Volatility of exchange rate futures and high-low price spreads
β Scribed by An-Sing Chen
- Publisher
- Springer US
- Year
- 1997
- Tongue
- English
- Weight
- 704 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1055-0925
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π SIMILAR VOLUMES
The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile and
## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The priceβdiscovery ability of the Taiwan Top 50 Tracker Fund, an exchangeβtraded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum