𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange

✍ Scribed by Gary Gang Tian; Mingyuan Guo

Publisher
Springer US
Year
2007
Tongue
English
Weight
313 KB
Volume
28
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Intraday volatility in the bond, foreign
Intraday volatility in the bond, foreign exchange, and stock index futures markets
✍ Valeria Martinez; Yiuman Tse πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 359 KB πŸ‘ 1 views

## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the E‐mini S&P 500 futures contracts traded on a continuous 23‐hour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif

Intraday price discovery and volatility
Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
✍ Jian Yang; Zihui Yang; Yinggang Zhou πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 319 KB πŸ‘ 1 views

## Abstract Using high‐frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock in

New evidence on expiration-day effects u
New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchange
✍ M. Illueca; J. A. LaFuente πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 169 KB πŸ‘ 1 views

Additional evidence is provided on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed by T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys (2003). Findings reveal not only a significant increase in spot trading activity, but also the existence