Comparison of price discovery abilities between oil future and oil ETF

• Main Authors: Liao, Yen-Lin, 廖彥琳
• Other Authors: Weng, Chih-Wen
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/42188933116431596148

碩士 === 國立交通大學 === 應用數學系所 === 97 === This study uses five minute intraday-day data and finds the cointegration relationship existed between Light, Sweet Crude Oil futures and United States Oil Fund. Vector error correction model was used to analyze two assets relationship between the long term equipment and short term variable. Information share model was used to analyze and judge that the efficiency of price discovery. This model explains the dominant position relationship between the strong and weak in two markets.