How does news flow affect cross-market volatility spillovers? : evidence from China’s stock index futures and spot markets
Xinmiao Zhou, Junru Zhang, Zhaoyong Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Zhou, Xinmiao ; Zhang, Junru ; Zhang, Zhaoyong |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 73.2021, p. 196-213
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| Subject: | Chinese stock index futures market | Price discovery | Public information arrival | Volatility spillover effect | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Index-Futures | Index futures | China | Börsenkurs | Share price | Spotmarkt | Spot market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2021.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012692222