haku: @author Hatch, B.C. / yhteensä: 1
viite: 1 / 1
« edellinen | seuraava »
| Tekijä: | Hatch, B.C. |
| Otsikko: | The intraday relation between NYSE and CBOE prices |
| Lehti: | Journal of Financial Research
2003 : SPRING, VOL. 26:1, p. 97-112 |
| Asiasana: | Information Stock markets SHARE PRICES Volatility |
| Kieli: | eng |
| Tiivistelmä: | The literature regarding price discovery across stock and option markets is extended through an empirical model that allows information to flow through an error-correction term and volatility. NYSE prices tend to lead CBOE prices by at least thirty minutes over the entire six-year sample period. |
« edellinen | seuraava »
SCIMA