Investigating the Intraday Interdependence Between the Index Futures and Stock Index at Different Time Scales : Evidence from Bursa Malaysia
This study examines the intraday dynamic association between the Bursa Malaysia futures and its underlying spot markets. Specifically, the study focuses on the price discovery concept and volatility transmission mechanism between the FKLI futures and the FBMKLC index using three high-frequency (10 m...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/37375/ |