Wan, Die; Cheng, Ke; Yang, Xiaoguang - In: Applied Financial Economics 24 (2014) 24, pp. 1555-1575
We investigate the intraday return-volatility correlation in Chinese financial market with high-frequency transaction data of individual stocks. In contrast to the widely accepted theory of volatility asymmetry (i.e. negative returns induce higher price volatilities than positive ones), we show...