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Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China

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  • Jian Yang
  • Zihui Yang
  • Yinggang Zhou
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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Futures Markets.

    Volume (Year): 32 (2012)
    Issue (Month): 2 (02)
    Pages: 99-121

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    Handle: RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121

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    Web page: http://www.interscience.wiley.com/jpages/0270-7314/

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    Cited by:
    1. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(3), pages 219-242, September.
    2. Shi, Jing & Xu, Tracy, 2013. "Price and volatility dynamics between securitized real estate spot and futures markets," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 582-592.
    3. Xinsheng Lu & Jie Tian & Ying Zhou & Zhihui Li, 2012. "Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market," Working Papers, Auckland University of Technology, Department of Economics 2012-08, Auckland University of Technology, Department of Economics.
    4. Lu, Xinsheng & Tian, Jie & Zhou, Ying & Li, Zhihui, 2013. "Multifractal detrended fluctuation analysis of the Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(6), pages 1452-1458.
    5. Kim, Jun Sik & Ryu, Doojin, 2014. "Intraday price dynamics in spot and derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 394(C), pages 247-253.

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