Electronic trading, liquidity and information efficiency : evidence from the Montreal exchange
This paper studies the deviation spread of the Equity Index S&P/TSX 60 Futures Contract SXF's daily price from the Cost of Carry Model before and after the contract is launched on the electronic trading platform in the Montreal Exchange. The relative stability of the deviation spread after...
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2007
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| Online Access: | http://spectrum.library.concordia.ca/975311/1/MR28986.pdf Wang, Kunyi <http://spectrum.library.concordia.ca/view/creators/Wang=3AKunyi=3A=3A.html> (2007) Electronic trading, liquidity and information efficiency : evidence from the Montreal exchange. Masters thesis, Concordia University. |