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A tale of two index futures : the intraday price discovery and volatility transmission processes between the China financial futures exchange and the Singapore exchange
Guo, Biao; Han, Qian; Liu, Maonan; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 197-212
Persistent link: https://www.econbiz.de/10010258907
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Robust information share measures with an application on the international crude oil markets
Li, Hong; Shi, Yanlin - In: The journal of futures markets 42 (2022) 4, pp. 555-579
Persistent link: https://www.econbiz.de/10013187561
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The intraday dynamics and intraday price discovery of bitcoin
Su, Fei; Wang, Xinyi; Yuan, Yulin - In: Research in international business and finance 60 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013412507
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Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs
Hurwitz, Catalina I.; Mishra, Suchismita; Daigler, Robert T. - In: Algorithmic finance 9 (2022) 3/4, pp. 63-79
Persistent link: https://www.econbiz.de/10013459963
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Information shares for markets with partially overlapping trading hours
Dimpfl, Thomas; Schweikert, Karsten - In: Journal of banking & finance 154 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014491772
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Price discovery and volatility spillover : evidence from Indian commodity markets
Sehgal, Sanjay; Rajput, Namita; Deisting, Florent- - In: The international journal of business and finance … 7 (2013) 3, pp. 57-75
Persistent link: https://www.econbiz.de/10009675692
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Information linkages between Chinese and world copper futures markets
Hou, Keqiang; Chan, M. W. Luke; Zeng, Xin - In: Frontiers of economics in China : selected publications … 10 (2015) 2, pp. 272-300
Persistent link: https://www.econbiz.de/10011304074
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Information transmission between bitcoin derivatives and spot markets : high-frequency causality analysis with Fourier approximation
Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: Economics and Business Letters : EBL 10 (2021) 4, pp. 394-402
Persistent link: https://www.econbiz.de/10013169260
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The development of Bitcoin futures : exploring the interactions between cryptocurrency derivatives
Akyildirim, Erdinc; Corbet, Shaen; Katsiampa, Paraskevi; … - In: Finance research letters 34 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012436502
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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10010303693