Price discovery and causality in the Australian share price index futures market

Turkington, Joshua; Walsh, David
December 1999
Australian Journal of Management (University of New South Wales);Dec99, Vol. 24 Issue 2, p97
Academic Journal
Studies the causal relationship between prices of share index futures and the All-Ordinaries Index in Australia. Impact of market structure on informed trading; Electronic market's potential to enhance price discovery; Correctness of the cost-of-carry model.


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