Stock trading based on volatility and price discovery

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High-Frequency Trading, Stock Volatility, and Price Discovery by Frank Zhang :: SSRN

Next article in issue: Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates. Ltd for helpful comments on earlier versions. Yang gratefully acknowledges financial support from the Humanities and Social Sciences grant of the Chinese Ministry of Education 08JCGuangdong Universities Humanities and Social Sciences Yumiao Fund WYMthe Foundation for the Authors of Excellent Doctoral Dissertation of Guangdong Province sybzzxmthe Fundamental Research Funds for the Central Universities, and the research grant from the Economic Research Center at Sun Yat-Sen University.

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Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China.

Although the Chinese stock index started a sharp decline immediately after the stock index futures were introduced, the cash market is found to play a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market.

Based on a newly proposed theoretically consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets. View all 48 citations.

High-Frequency Trading, Stock Volatility, and Price Discovery by Frank Zhang :: SSRN

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Are they basics of binary option system z906 to the spot exchange rates Next article in issue: Research Article Intraday price discovery and volatility transmission in stock index and stock index futures markets: Associate Professor of Finance, Lingnan College, Sun Yat-Sen University, Guangzhou, People's Republic of China Search for more papers by this author.

Assistant Professor of Finance and Real Estate, Faculty of Business Administration, Chinese University of Hong Kong, Hong Kong Search for more papers by this author. Set citation alert Citing literature.

stock trading based on volatility and price discovery

Abstract Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Continue reading full article. Format Available Forex probe finds text: Publication History Issue online: December Manuscript Received: Articles related to the one you are viewing Please enable Javascript to view the related content of this article.

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A semiparametric approach with range-based proxies, Journal of Futures MarketsWiley Online Library 6 Qian HanJufang LiangIndex Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash, Journal of Futures Markets, 374, Wiley Online Library 7 Xiaojie XuIntraday price information flows between the CSI and futures market: From the Bailout Policies to the Shanghai-Hong Kong Stock Connect, International Journal of Financial Studies, 51, 4 CrossRef 10 Hong MiaoSanjay RamchanderTianyang WangDongxiao YangRole of index futures on China's stock markets: Evidence from price discovery and volatility spillover, Pacific-Basin Finance Journal, 4413 CrossRef 11 Qiang LiuGaoxiu QiaoThe evolving nature of intraday price discovery in the Chinese CSI index futures market, Empirical Economics, 524, CrossRef 12 Donghua WangJingqing TuXiaohui ChangSaiping LiThe lead—lag relationship between the spot and futures markets in China, Quantitative Finance, 1 CrossRef 13 Yu ZhouShi ChenCross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data, Physica A: Statistical Mechanics and its Applications,CrossRef 14 Yigit AtilganK.

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stock trading based on volatility and price discovery
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