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Price discovery in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 19 (1999) 6, pp. 619-643

Persistent link: https://www.econbiz.de/10001410389

Price discovery in the Hang Seng Index markets : index, futures, and the tracker fund

So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 24 (2004) 9, pp. 887-907

Persistent link: https://www.econbiz.de/10002145997

Price discovery and volatility spillovers in the DJIA index and futures markets

Tse, Yiuman - In: The journal of futures markets 19 (1999) 8, pp. 911-930

Persistent link: https://www.econbiz.de/10001443476

Index arbitrage with heterogeneous investors : a smooth transition error correction analysis

Tse, Yiuman - In: Journal of banking & finance 25 (2001) 10, pp. 1829-1855

Persistent link: https://www.econbiz.de/10001608847

Price discovery on the S&P 500 index markets : an analysis of spot index, index futures, and SPDRs

Chu, Quentin C.; Hsieh, Wen-liang Gideon; Tse, Yiuman - In: International review of financial analysis 8 (1999) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10001446431

Asymmetric information transmission between a transition economy and the US market : evidence from the Warsaw Stock Exchange

Tse, Yiuman; Wu, Chunchi; Young, Allan - In: Global finance journal 14 (2003) 3, pp. 319-332

Persistent link: https://www.econbiz.de/10001977661

The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures

Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H. K. - In: Managerial finance 38 (2012) 8, pp. 752-767

Persistent link: https://www.econbiz.de/10009568698

Extended trading in Chinese index markets : informed or uninformed?

Hua, Renhai; Liu, Qingfu; Tse, Yiuman - In: Pacific-Basin finance journal 36 (2016), pp. 112-122

Persistent link: https://www.econbiz.de/10011668766

Momentum strategies with stock index exchange-traded funds

Tse, Yiuman - In: The North American journal of economics and finance : a … 33 (2015), pp. 134-148

Persistent link: https://www.econbiz.de/10011534898

Overnight Returns of Stock Indexes : Evidence from ETFs and Futures

Liu, Qingfu - 2017

During the period 1999-2014, overnight returns of US exchange-traded index funds and most international index futures are significantly positive, while returns during trading hours are negative. The overnight volatility is lower than the trading volatility. Estimating the value at risk and...

Persistent link: https://www.econbiz.de/10012962535