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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Bibliographic Details
Main Authors: CHIYACHANTANA, Chiraphol New, Choochuay, Julaluck, Likitapiwat, Tanakorn
Format: text
Language:English
Published: 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