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The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 33 (2014), pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
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Volatility behaviour of stock index futures in China : a bivariate GARCH approach
Hou, Yang; Li, Steven - In: Studies in economics and finance 32 (2015) 1, pp. 128-154
Persistent link: https://www.econbiz.de/10011380764
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Price discovery in Chinese stock index futures market : new evidence based on intraday data
Hou, Yang; Li, Steven - In: Asia-Pacific financial markets 20 (2013) 1, pp. 49-70
Persistent link: https://www.econbiz.de/10009718886
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Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Hou, Yang; Li, Steven - In: Pacific-Basin finance journal 24 (2013), pp. 109-131
Persistent link: https://www.econbiz.de/10010346788
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Time-varying information share and autoregressive loading factors : evidence from S&P 500 cash and E-mini futures markets
Hou, Yang; Li, Steven; Wen, Fenghua - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 91-110
Persistent link: https://www.econbiz.de/10012549905
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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
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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang; Li, Steven; Wen, Fenghua - In: Energy economics 83 (2019), pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
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Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 66 (2020), pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
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The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns
Hou, Yang; Li, Steven - In: International Review of Economics & Finance 33 (2014) C, pp. 319-337
This study examines the impact of the CSI 300 index futures on the underlying spot market in terms of feedback trading model. A univariate AR-GJR-GARCH-M model and a bivariate VECM–GARCH-M model are employed for the analysis. Our research reveals that the CSI 300 stock index futures market...
Persistent link: https://www.econbiz.de/10010930958
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Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data
Hou, Yang; Li, Steven - In: Asia-Pacific Financial Markets 20 (2013) 1, pp. 49-70
Using high-frequency data, this study investigates price discovery in the newly established stock index (CSI300) futures market in China. Our empirical results reveal new evidence that the CSI300 index futures market play a dominant role in the price discovery process about one year after its...
Persistent link: https://www.econbiz.de/10010866383