Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market
Price discovery studies of a single asset traded in multiple markets have traditionally
focused on assessing the relative price discovery contribution of each market. However, in …
focused on assessing the relative price discovery contribution of each market. However, in …
Time‐varying price discovery in regular and microbitcoin futures
We investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin
(MBT) futures at the Chicago Mercantile Exchange. The only difference between the two …
(MBT) futures at the Chicago Mercantile Exchange. The only difference between the two …
How Do the Lengths of the Lead Lag Time between Stocks Evolve? Tick-by-tick Level Measurements across Two Decades
B Anderson - Journal of Banking and Financial Economics, 2022 - ceeol.com
There has been an extraordinary decrease in order execution time on stock exchanges in
the past two decades. A related question is whether there has been a similar reduction in …
the past two decades. A related question is whether there has been a similar reduction in …
A study investigating the role of economic uncertainty and factors affecting futures indices mispricing
D Garg, KP Narwal, V Gupta - International Journal of …, 2022 - inderscienceonline.com
In this paper, we investigate (a) what are the factors that affect the mispricing in benchmark
and sectoral indices;(b) the role of economic policy uncertainty (EPU) on the mispricing in …
and sectoral indices;(b) the role of economic policy uncertainty (EPU) on the mispricing in …
Does COVID-19 Change the Relationship among Taiwan Stock Index Futures, MSCI Morgan Taiwan Index, and Taiwan Stock Price Index?
C Ya-Chuan, LEE Yao-Hsin… - Expert Journal of …, 2021 - economics.expertjournals.com
This paper discusses the changes of Taiwan stock index futures'(TF) return rate before and
during COVID-19, using the nonlinear regression model to compare the differences as the …
during COVID-19, using the nonlinear regression model to compare the differences as the …