Intraday price discovery of leveraged ETF and E-mini index futures
博士 === 國立交通大學 === 財務金融研究所 === 101 === In this paper, we examine the price discovery of leveraged exchange-traded funds (LETFs), which underlying benchmark is S&;P 500 index in the period of ban on short sales. We find that the short-selling bans have led to increase in the information share of P...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/24526114035350102601 |