Price discovery and volatility spillover with price limits in Chinese A-shares market : a truncated GARCH approach
C.J. Adcock, C. Ye, S. Yin & D. Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Adcock, C. J. ; Ye, C. ; Yin, Shuxing ; Zhang, Dalu |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 70.2019, 10, p. 1709-1719
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| Subject: | Price limits | delayed price discovery | volatility spillover | truncated return distributions | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | ARCH-Modell | ARCH model | China | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2018.1542973 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012214762