Informed futures trading and price discovery: evidence from Taiwan futures and stock markets

DOI10.1007/S10690-013-9165-4zbMATH Open1273.91440OpenAlexW2087254953MaRDI QIDQ370882FDOQ370882

Authors: Yi-Tsung Lee, Wei-Shao Wu, Yun Hong Yang 

Publication date: 20 September 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-013-9165-4

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zbMATH Keywords

information contentforeign institutional tradersfutures marketsinformed traderslead-lag relationship

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market *

Cited In (7)

• Price discovery, causality and forecasting in the freight futures market
• Ultra-high-frequency lead-lag relationship and information arrival
• Title not available (Why is that?)
• Financial markets trends and studies of Singapore futures markets
• Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market *
• Price discovery in Chinese stock index futures market: new evidence based on intraday data
• The information flow of option markets during global financial crisis: where do informed traders trade?

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