The investigation of intraday price discovery relationships among TESC Taiwan Technology Index, Electronic Sector Index Futures, Fubon Taiwan Technology Tracker Fund
碩士 === 國立高雄第一科技大學 === 財務管理所 === 96 === This study explored the intraday price discovery relationship among TSEC Taiwan Technology Index,Electronic Sector Index Futures,Fubon Taiwan Technology Tracker Fund. And use the closing price in five minutes during January 2, 2007 to June 29, 2007. The empiric...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97e5mj |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 96 === This study explored the intraday price discovery relationship among TSEC Taiwan Technology Index,Electronic Sector Index Futures,Fubon Taiwan Technology Tracker Fund. And use the closing price in five minutes during January 2, 2007 to June 29, 2007. The empirical results are as follows:
First, Three index exist a cointegration relationship and long run equilibrium.
Second, Electronic Sector Index Futures is better than TSEC Taiwan Technology Index in price discovery. Electronic Sector Index Futures is better than Fubon Taiwan Technology Tracker Fund.
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