出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：Using Hasbrouck(1993)methodology and tick-by-tick intraday data,this paper investigates the market quality of Nasdaq 100 Index futures after Cubes started trading on March 10, 1999.Market quality is measured by the variance of pricing error.Pricing error is the deviation of actual transaction price from the unobserved implicit efficient price.By employing a vector auto?regression model,we found a lower pricing error variance in post-Cubes period relative to that of pre-Cubes period.This finding indicates an improvement in the market quality of Nasdaq 100 Index futures.
