An empirical examination of the lead-lag relationship between spot and futures markets : evidence from Thailand
Year of publication: |
2014
|
---|---|
Authors: | Judge, Amrit ; Reancharoen, Tipprapa |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 29.2014, p. 335-358
|
Subject: | Market efficiency | Lead-lag relationship | Spot market: SET50 index | Futures market: SET50 index futures | Error correction model | Cost of carry model | Index-Futures | Index futures | Thailand | Kointegration | Cointegration | Schätzung | Estimation | Spotmarkt | Spot market | Derivat | Derivative | Effizienzmarkthypothese | Efficient market hypothesis |
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