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Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China

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Personen und Körperschaften: Yang, Jian (VerfasserIn), Zhou, Yinggang (Sonstige), Yang, Zihui (Sonstige)
Weitere Verfasser: Zhou, Yinggang [Sonstige] • Yang, Zihui [Sonstige]
Format: E-Book
Sprache: Englisch
veröffentlicht:
[S.l.] SSRN [2011]
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
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Zusammenfassung: Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a drastic falling immediately after the stock index futures were introduced, we find that the cash market plays a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically-consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets
Beschreibung: In: Journal of Futures Markets, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2010 erstellt
Umfang: 1 Online-Ressource (32 p)
Zugang: Open Access