The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market
Qiang Liu, Gaoxiu Qiao
| Year of publication: |
June 2017
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|---|---|
| Authors: | Liu, Qiang ; Qiao, Gaoxiu |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 52.2017, 4, p. 1569-1585
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| Subject: | Intraday price discovery | CSI 300 stock index futures | Minute-by-minute data | Vector error correction model | Implied theoretical index price | Index-Futures | Index futures | Kointegration | Cointegration | Börsenkurs | Share price | Volatilität | Volatility | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-016-1115-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945910