Intradaily relationship between information revelation and trading duration under market trends: The evidence of MSCI Taiwan stock index futures

Min-Hsien Chiang, Cheng Hsiang Wang

研究成果: Article同行評審

2 引文 斯高帕斯(Scopus)

摘要

This paper investigates the duration dynamics and relationship between price volatility and durations under different market trends for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that conditional durations are related to durations and conditional expected durations as found in previous studies. The price volatility is related to duration related variables. Moreover, the intradaily price dynamics will vary according to the size of the observation interval, the size of price changes, and the market trend.

原文English
頁(從 - 到)495-501
頁數7
期刊Applied Economics Letters
11
發行號8
DOIs
出版狀態Published - 2004 六月 15

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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