The price relationship of Taiwan stocks index Futures and Taiwan 50 ETF
碩士 === 雲林科技大學 === 企業管理系碩士班 === 97 === The purpose of this paper is to find the final price lead-lag relationship among futures index and Taiwan 50 ETF. The high frequency intraday data (date data) are employed. The Unit Root test, Cointegration test, Vector Error Correction Model (VECM), Granger cau...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37889429116485450116 |