A Hawkes process analysis of high-frequency price endogeneity and market efficiency
Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu and Ruixun Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Zhuo, Jingbin ; Chen, Yufan ; Zhou, Bang ; Lang, Baiming ; Wu, Lan ; Zhang, Ruixun |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 30.2024, 9, p. 949-979
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| Subject: | branching ratio | Chinese stock market | Hawkes process | Kernel function | Market efficiency | price endogeneity | Effizienzmarkthypothese | Efficient market hypothesis | Aktienmarkt | Stock market | Schätzung | Estimation | China | Börsenkurs | Share price | Theorie | Theory | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2023.2251531 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014548011