Guo, Biao; Han, Qian; Liu, Maonan; Ryu, Doojin - In: Emerging Markets Finance and Trade 49 (2013) S4, pp. 197-212
This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities...