Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund

Yiuman Tse; Raymond W. So

doi:10.1002/fut.20112

Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund

Yiuman Tse
, Raymond W. So

University of Missouri-St. Louis

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

Original language	American English
Journal	The Journal of Futures Markets
Volume	24
DOIs	https://doi.org/10.1002/fut.20112
State	Published - 2004

Disciplines

Economics
Finance

Access to Document

10.1002/fut.20112License: Unspecified

Cite this

@article{f973ea360a31421e97a4db597343a32d,

title = "Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund",

author = "Yiuman Tse and So, \{Raymond W.\}",

note = "In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive condi...",

year = "2004",

doi = "10.1002/fut.20112",

language = "American English",

volume = "24",

journal = "The Journal of Futures Markets",

}

TY - JOUR

T1 - Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund

AU - Tse, Yiuman

AU - So, Raymond W.

N1 - In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive condi...

PY - 2004

Y1 - 2004

UR - https://doi.org/10.1002/fut.20112

U2 - 10.1002/fut.20112

DO - 10.1002/fut.20112

M3 - Article

VL - 24

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

ER -

Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund

Disciplines

Access to Document

Other files and links

Cite this