Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.20514/fullpdf
Reference40 articles.
1. Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets;Abhyankar;Journal of Futures Markets,1995
2. Risk and return on China's new stock markets: Some preliminary evidence;Bailey;Pacific-Basin Finance Journal,1994
3. Return and volatility dynamics in the spot and futures markets in Australia: An intervention analysis in a bivariate EGARCH-X framework;Bhar;Journal of Futures Markets,2001
4. Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets;Brenner;Journal of Financial and Quantitative Analysis,1995
5. Do futures lead price discovery in electronic foreign exchange markets;Cabrera;Journal of Futures Markets,2009
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