Zhou, Chunyang; Wu, Chongfeng; Yang, Li - In: Emerging Markets Finance and Trade 47 (2011) 1, pp. 78-93
This paper analyzes intraday interdependence of returns and trades between Chinese equity and warrants markets based on a vector autoregression framework proposed by Chan et al. (2002). We find that both stock and warrant trades contain useful information for revealing quotes in the stock and...