Intraday Price Discovery in the DJIA Index Markets

Yiuman Tse; Paramita Bandyopadhyay; Yang-Pin Shen

doi:10.1111/J.1468-5957.2006.00639.X

Intraday Price Discovery in the DJIA Index Markets

Yiuman Tse, Paramita Bandyopadhyay, Yang-Pin Shen

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Journal of Business Finance & Accounting
Volume	33
DOIs	https://doi.org/10.1111/J.1468-5957.2006.00639.X
State	Published - Dec 7 2006
Externally published	Yes

Disciplines

Economics
Finance

Access to Document

10.1111/J.1468-5957.2006.00639.XLicense: Unspecified

Cite this

@article{7744b58b2744450e908498ec480bfef7,

title = "Intraday Price Discovery in the DJIA Index Markets",

author = "Yiuman Tse and Paramita Bandyopadhyay and Yang-Pin Shen",

note = "14 Pages Posted: 7 Dec 2006 This paper explores the dynamics of price discovery between the Dow Jones Industrial Average (DJIA) index and its three derivative products: the DIAMOND exchange-traded fund (ETF), the floor-traded regular futures, and the electronically traded mini futures.",

year = "2006",

month = dec,

day = "7",

doi = "10.1111/J.1468-5957.2006.00639.X",

language = "American English",

volume = "33",

journal = "Journal of Business Finance & Accounting",

}

TY - JOUR

T1 - Intraday Price Discovery in the DJIA Index Markets

AU - Tse, Yiuman

AU - Bandyopadhyay, Paramita

AU - Shen, Yang-Pin

N1 - 14 Pages Posted: 7 Dec 2006 This paper explores the dynamics of price discovery between the Dow Jones Industrial Average (DJIA) index and its three derivative products: the DIAMOND exchange-traded fund (ETF), the floor-traded regular futures, and the electronically traded mini futures.

PY - 2006/12/7

Y1 - 2006/12/7

UR - https://papers.ssrn.com/sol3/Delivery.cfm/jbfa_639.pdf?abstractid=950053&mirid=1

U2 - 10.1111/J.1468-5957.2006.00639.X

DO - 10.1111/J.1468-5957.2006.00639.X

M3 - Article

VL - 33

JO - Journal of Business Finance & Accounting

JF - Journal of Business Finance & Accounting

ER -

Intraday Price Discovery in the DJIA Index Markets

Disciplines

Access to Document

Other files and links

Cite this