Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Futures Markets.
Volume (Year): 32 (2012)
Issue (Month): 2 (02)
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Web page: http://www.interscience.wiley.com/jpages/0270-7314/
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- 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.
- 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.
- 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.
- 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.
- 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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