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The International Price Transmission in Stock Index Futures Markets

✍ Scribed by Jian Yang; David A. Bessler

Book ID
111744127
Publisher
Oxford University Press
Year
2004
Tongue
English
Weight
322 KB
Volume
42
Category
Article
ISSN
0095-2583

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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