It is an important task to make predictions of trading volumes of financial indices to market participants. In the present study, we focus on this issue for the Chinese Stock Index 300 (CSI300) spot by exploring the high-frequency one-minute data spanning the launch date of the corresponding...

Current studies highlight asymmetric asset pricing in different environmental states. By dividing China's aggregate consumption into two specific sets, we ferret out two heterogeneous consumption volatilities, where the one positively mirrors good times and optimistic sentiment, and the other...