Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market

K Xu, YL Chen, B Liu, J Chen - Journal of Futures Markets, 2024 - Wiley Online Library
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 …

Time‐varying price discovery in regular and microbitcoin futures

YL Chen, JJ Yang - Journal of Futures Markets, 2024 - Wiley Online Library
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 …

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 …

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 …

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 …