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Where are the sources of stock market mispricing and excess volatility?

✍ Scribed by Carl R. Chen, Peter P. Lung…

Book ID: 120765064
Publisher: Springer US
Year: 2012
Tongue: English
Weight: 911 KB
Volume: 41
Category: Article
ISSN: 0924-865X
DOI: 10.1007/s11156-012-0326-8

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## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili