Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets-Reference-Cited by-同舟云学术

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Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets

Published:2022-07-25 Issue:12 Volume:42 Page:2235-2247
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Jin Liwei¹^ORCID,Yuan Xianghui¹^ORCID,Wang Shihao¹,Li Peiran¹^ORCID,Lian Feng²

Affiliation:

1. School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China

2. School of Electronic and Information Engineering Xi'an Jiaotong University Xi'an Shaanxi China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22368

Reference41 articles.

1. Price discovery and common factor models

2. A comparison of trading and non-trading mechanisms for price discovery

3. Stealth trading and volatility

4. Price Discovery without Trading: Evidence from Limit Orders

5. Do ETFs lead the price moves? Evidence from the major US markets

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