A Hawkes process analysis of high-frequency price endogeneity and market efficiency
Year of publication: |
2024
|
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Authors: | Zhuo, Jingbin ; Chen, Yufan ; Zhou, Bang ; Lang, Baiming ; Wu, Lan ; Zhang, Ruixun |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 30.2024, 9, p. 949-979
|
Subject: | branching ratio | Chinese stock market | Hawkes process | Kernel function | Market efficiency | price endogeneity | Effizienzmarkthypothese | Efficient market hypothesis | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation | China | Theorie | Theory |
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