Intraday Price Discovery in Emerging Equity Market: Analysis of SET50 Index, SET 50 Index Futures and THAIDEX SET50 (TDEX)
This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a lon...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4604 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5603/viewcontent/ChiyachantanaC_ChoochuayJ_LikitapiwatT.pdf |
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Institution: | Singapore Management University |
Language: | English |