TITLE

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

AUTHOR(S)
Turkington, Joshua; Walsh, David
PUB. DATE
December 1999
SOURCE
Australian Journal of Management (University of New South Wales);Dec99, Vol. 24 Issue 2, p97
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
2608037

 

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