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Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data

✍ Scribed by Hou, Yang; Li, Steven

Book ID
118252132
Publisher
Springer
Year
2012
Tongue
English
Weight
332 KB
Volume
20
Category
Article
ISSN
1573-6946

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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