Purpose – The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock prices between China and G5 countries and explain their implications on the basis of empirical results. Design/methodology/approach – The analysis utilizes the exponential...

In this paper, we propose a new agent-based model to study the source of liquidity and the “emergent” phenomenon in financial market with fractal structure. The model rests on fractal market hypothesis and agents with different time horizons of investments. What is interesting is that though...