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Does intraday time-series momentum exist in Chinese stock index futures market?

Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012438384

Relationships between Chinese stock market and its index futures market : evaluating the impact of QFII scheme

Huo, Rui; Ahmed, Abdullahi Dahir - In: Research in international business and finance 44 (2018), pp. 135-152

Persistent link: https://www.econbiz.de/10011983026

The effect of index option trading on stock market volatility in China : an empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces … stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models …

Persistent link: https://www.econbiz.de/10013168752

Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach

Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897

Persistent link: https://www.econbiz.de/10011643072

Role of index futures on China's stock markets : evidence from price discovery and volatility spillover

Miao, Hong; Ramchander, Sanjay; Wang, Tianyang; Yang, … - In: Pacific-Basin finance journal 44 (2017), pp. 13-26

Persistent link: https://www.econbiz.de/10011800737

The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis

Chen, Qiang; Gong, Yuting - In: International review of economics & finance : IREF 64 (2019), pp. 102-121

Persistent link: https://www.econbiz.de/10012322288

Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?

Derbali, Abdelkader; Naoui, Kamel; Ben Sassi, Mounir; … - In: The Chinese economy : translations and studies 55 (2022) 3, pp. 227-242

Persistent link: https://www.econbiz.de/10013204855

Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns

Chung, Chien-Ping; Liao, Tzu-Hsiang; Lee, Hsiu-chuan - In: Pacific-Basin finance journal 65 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013209559

Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions : evidence from oil volatility index

Xiao, Jihong; Zhou, Min; Wen, Fengming; Wen, Fenghua - In: Energy economics 74 (2018), pp. 777-786

Persistent link: https://www.econbiz.de/10011972968

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093