The intra-day price discovery process between the Singapore Exchange and Taiwan Futures Exchange
Date
2002
Authors
Roope, M.
Zurbrugg, R.
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Journal article
Citation
Journal of Futures Markets, The, 2002; 22(3):219-240
Statement of Responsibility
Matthew Roope and Ralf Zurbruegg
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DOI
Abstract
Focuses on the intra-day price discovery process between the Singapore Exchange and Taiwan Futures Exchange. Extraction of information content held in each market; Origin of price discovery from the Singapore futures; Theoretical relationship between futures contracts and spot indices.
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Description
The definitive version may be found at www.wiley.com