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Price discovery in stock index: an ARDL-ECM approach in Taiwan case

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  • Shi-jie Jiang
  • Matthew Chang

    ()

  • I-chan Chiang
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11135-011-9433-1
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    Bibliographic Info

    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 46 (2012)
    Issue (Month): 4 (June)
    Pages: 1227-1238

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    Handle: RePEc:spr:qualqt:v:46:y:2012:i:4:p:1227-1238

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    Web page: http://www.springer.com/economics/journal/11135

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: ARDL-ECM; Lead-lag; Spot and futures; Stock index; Price discovery;

    References

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    1. M. R. Garfinkel & A. Glazer & J. Lee, 1999. "Election Surprises and Exchange Rate Uncertainty," Economics and Politics, Wiley Blackwell, vol. 11(3), pages 255-274, November.
    2. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
    3. Bahmani-Oskooee, Mohsen & Bohl, Martin T., 2000. "German monetary unification and the stability of the German M3 money demand function," Economics Letters, Elsevier, vol. 66(2), pages 203-208, February.
    4. J Fedderke & Michelle Joao, 2001. "Arbitrage, Cointegration And Efficiency In Financial Markets In The Presence Of Financial Crises," South African Journal of Economics, Economic Society of South Africa, vol. 69(3), pages 366-384, 09.
    5. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
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