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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

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  • I-chan Chiang

Abstract

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Suggested Citation

  • Shi-jie Jiang & Matthew Chang & I-chan Chiang, 2012. "Price discovery in stock index: an ARDL-ECM approach in Taiwan case," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1227-1238, June.
  • Handle: RePEc:spr:qualqt:v:46:y:2012:i:4:p:1227-1238
    DOI: 10.1007/s11135-011-9433-1
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    File URL: http://hdl.handle.net/10.1007/s11135-011-9433-1
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    References listed on IDEAS

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    1. 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.
    2. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
    3. 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.
    4. 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.
    5. 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, September.
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    Cited by:

    1. Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.

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