Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-020-00887-9.pdf
Reference41 articles.
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3. Baillie RT, Booth GG, Tse Y, Zabotina T (2002) Price discovery and common factor models. J Financ Mark 5:309–321
4. Bohl MT, Salm CA, Schuppli M (2011) Price discovery and investor structure in stock index futures. J Fut Mark 31:282–306
5. Bollerslev T (1990) Modelling the coherence in the short-run nominal exchange rates: a multivariate generalized ARCH model. Rev Econ Stat 72:498–505
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