The Price Relationship of Taiwan Stocks Index Spot, Futures and Taiwan 50 ETF.
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === Abstract The purpose of this paper is to find the price lead-lag relationship among Taiwan stock index, futures index and Taiwan 50 ETF. The high frequency intraday data (minutely data) are employed. The Unit Root test, Cointegration test, Vector Error Correctio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/qev6nt |