A Measurement of the Degree of Market Imperfection：Evidence from Global Major Stock Index Futures Markets
| Autor: | Lun-Ching Liu, 劉境倫 |
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| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 The purposes of this study are (1) to test the relationship of market imperfect degree and market by using two alternative volatility approaches to estimate seven country stock index markets, and (2)to compare which approach can better capture market index volatility, in advance, to improve the performance of degree of market imperfection. The empirical results can be summarized as follows: (1) the higher pricing error, the higher degree of market imperfection. In the other words, the lower absolute error, the lower degree of market imperfection. (2) The developed markets have low degree of market imperfection. The emerging markets have high degree of market imperfection.(3)The higher relationship of MAE and degree of market imperfection than the relationship of MAPE and degree of market imperfection .(4)In German market, MV method is better than EWMA method, but EWMA method is better than MA method in Hong Kong market . |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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