Price Discovery and Arbitrage between Futures and Cash Markets for Taiwan Stock Index
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Efficient Price Discovery in Stock Index Cash and Futures Markets
This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...
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