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Forecasting excess returns and abnormal trading volume using investor sentiment : evidence from Chinese stock index futures market

Gao, Bin; Xie, Jun - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 593-612

Persistent link: https://www.econbiz.de/10012211483

Stock price response to S&P 500 index inclusions : do options listings and options trading volume matter?

Chen, Yangyang; Koutsantony, Constantine; Truong, Cameron; … - In: Journal of international financial markets, … 23 (2013), pp. 379-401

Persistent link: https://www.econbiz.de/10009707491

Intraday volatility and volume in China's stock index and index futures markets

Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955

Persistent link: https://www.econbiz.de/10011471124

Are broad market shocks anticipated by investors? : evidence from major equity and index options markets

Spyrou, Spyros I. - In: International review of financial analysis 20 (2011) 3, pp. 127-133

Persistent link: https://www.econbiz.de/10009295799

Three essays on the econometrics of options markets

Lazarov, Zdravetz N. - 2004

Persistent link: https://www.econbiz.de/10002613885

Optionsbewertung bei stochastischer Volatilität

Nagel, Hartmut - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001530489

Bayesian analysis of dynamic bivariate mixture models : can they explain the behavior of returns and trading volume?

Watanabe, Toshiaki - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 199-210

Persistent link: https://www.econbiz.de/10001469682

On the Reverse U-Shaped Intraday Pattern of Volume and Volatility : Evidence from CSI 300 Index Futures Market

Chen, Zhijuan - 2014

In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a … reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index … measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which …

Persistent link: https://www.econbiz.de/10013059983

The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange

Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …

Persistent link: https://www.econbiz.de/10014230946

Algorithmic trading and market quality : evidence from the Taiwan index futures market

Chang, Ya-Kai; Chou, Robin K. - In: The journal of futures markets 42 (2022) 10, pp. 1837-1855

Persistent link: https://www.econbiz.de/10013465825