Does intraday time-series momentum exist in Chinese stock index futures market?
Yi Li, Dehua Shen, Pengfei Wang, Wei Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Li, Yi ; Shen, Dehua ; Wang, Pengfei ; Zhang, Wei |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 35.2020, p. 1-11
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| Subject: | Chinese stock index futures | High frequency trading | Intraday momentum | Predictability | Index-Futures | Index futures | China | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Aktienmarkt | Stock market | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012438384