FTSE/ATHEX Large Cap index intraday price (spot and future)

Published: 24 July 2019| Version 1 | DOI: 10.17632/pcvgf6sh9z.1
Athanasios P. Fassas


The dataset for "Fassas, A. P., & Siriopoulos, C. (2019). Intraday price discovery and volatility spillovers in an emerging market. International Review of Economics & Finance, 59, 333-346". It includes the cash and futures prices at thirty-minute intervals from 02 January 2013 to 31 December 2014 for the FTSE/ATHEX Large Cap index and the corresponding futures contract.