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Stock index reaction to large price changes: Evidence from major Asian stock indexes

✍ Scribed by Khelifa Mazouz; Nathan Lael Joseph; Clement Palliere

Book ID
116816880
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
282 KB
Volume
17
Category
Article
ISSN
0927-538X

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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