Intertemporal price discovery between stock index futures and spot markets: new evidence from high-frequency data
This article utilizes high-frequency 15-s intraday data from September 2017 through to August 2018 to investigate price leadership dynamics between Kuala Lumpur index futures (FKLI) and its underlying spot market: FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) in Bursa Malaysia. Harness...
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| 語言: | English English English |
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John Wiley and Sons Ltd
2020
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| 在線閱讀: | http://irep.iium.edu.my/84732/1/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures.pdf http://irep.iium.edu.my/84732/2/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_WoS.pdf http://irep.iium.edu.my/84732/13/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_Scopus.pdf http://irep.iium.edu.my/84732/ https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088567878&doi=10.1002%2fijfe.1827&partnerID=40&md5=09565dd674ad0ed06cb7d7b58d74b598 |
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