Information transfer, microstructures and arbitrage in related stock and futures markets
A general result from theoretical and empirical research in financial market is that information, market microstructure and trading clientele affect prices and trading patterns. Previous research, however, concentrated mainly on larger well traded security markets. This thesis extend this research to the thinly traded and informationally dependent Australian All Ordinaries Index (AOI), the Share Price Index (SPI) future contract and the arbitrage pricing series between these two markets....[Show more]
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