Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?-Reference-Cited by-同舟云学术

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Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?

Published:2016-08-19 Issue:7 Volume:37 Page:717-740
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Sohn Sungbin¹^ORCID,Zhang Xiaofeng²

Affiliation:

1. Sungbin Sohn is an Assistant Professor of finance at Peking University HSBC Business School; Shenzhen China

2. Xiaofeng Zhang is a research analyst at Helijin Technology Shanghai Ltd.; Shanghai China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference45 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. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

3. Price discovery and common factor models;Baillie;Journal of Financial Markets,2002

4. Trading is hazardous to your wealth: The common stock investment performance of individual investors;Barber;Journal of Finance,2000

5. All that clitters: The effect of attention and news on the buying behavior of individual and institutional investors;Barber;Review of Financial Studies,2008

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A high-frequency trading volume prediction model using neural networks;Decision Analytics Journal;2023-06

2. High-frequency CSI300 futures trading volume predicting through the neural network;Asian Journal of Economics and Banking;2023-05-31

3. Neural network predictions of the high-frequency CSI300 first distant futures trading volume;Financial Markets and Portfolio Management;2022-11-04

4. Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs;Algorithmic Finance;2022-08-03

5. Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets;Journal of Futures Markets;2022-07-25

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