The effect of short-sale restrictions on the information transmission of extended index futures trading
Year of publication: |
2020
|
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Authors: | Wang, Janchung ; Yeh, Shih-kuo ; Wang, Bo-Ting |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 52.2020, p. 1-7
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Subject: | Short-sale ban | Pre-open extended session | Overnight spot index return | Threshold GARCH(1,1) model | Index-Futures | Index futures | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienindex | Stock index | Leerverkauf | Short selling | Börsenkurs | Share price |
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