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Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China

✍ Scribed by Zhou, Zhou; Dong, Huiyan; Wang, Shouyang

Book ID
124127256
Publisher
Elsevier
Year
2014
Tongue
English
Weight
410 KB
Volume
31
Category
Article
ISSN
1877-0509

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## 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