Intraday volatility and volume in China's stock index and index futures markets
Yusaku Nishimura (Institute of International Economy, University of International Business and Economics), Bianxia Sun (Department of Financial Mathematics and Financial Engineering, South University of Science and Technology of China)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Nishimura, Yusaku ; Sun, Bianxia |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 44.2015, 6, p. 932-955
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| Subject: | Intraday volume | Intraday volatility | FIEGARCH model | Stock index futures | Information transmission | Volatilität | Volatility | Index-Futures | Index futures | Aktienindex | Stock index | China | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ajfs.12117 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011471124