An investigation of the lead-lag relationship between Taiwan stock index and futures markets for high frequency data in sub-prime crisis
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 96 === This paper investigates Taiwan financial markets for study of market microstructure in the Taiwan stock index and index futures based on different time-intervals (1, 5, 15, 60min) intraday returns. The study period is from January 2, 2007 to December 31, 2007...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48752425646734679346 |