Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
Using high‐frequency data, this study investigates intraday price discovery and volatility
transmission between the Chinese stock index and the newly established stock index …
transmission between the Chinese stock index and the newly established stock index …
Political uncertainty, COVID-19 pandemic and stock market volatility transmission
News about referendums and the ongoing evolution of a global contagious increase
uncertainty about the development of economic fundamentals reflected by increased …
uncertainty about the development of economic fundamentals reflected by increased …
Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China
This paper examines volatility and skewness spillover between Chinese stock index and
index futures markets during the market crash in 2015. The results reveal that the volatility …
index futures markets during the market crash in 2015. The results reveal that the volatility …
Commodity and transportation economic market interactions revisited: new evidence from a dynamic factor model
J Angelopoulos, S Sahoo, ID Visvikis - Transportation Research Part E …, 2020 - Elsevier
To the best of our knowledge, this is the first paper, to utilise a novel dynamic factor model to
investigate the economic relationships between 65 commodity (including oil, energy, metal …
investigate the economic relationships between 65 commodity (including oil, energy, metal …
The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market
This paper examines the relationship between spot and futures prices in the Indian
commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used …
commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used …
Financialisation of natural resources & instability caused by risk transfer in commodity markets
Understanding the connectedness of financial markets and hence possible sources of
systematic risk is central to the debate on the process of financialisation and its …
systematic risk is central to the debate on the process of financialisation and its …
What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?
Recent papers that have explored spot and futures markets for Bitcoin have concluded that
price discovery takes place either in the spot, or the futures market. Here, we consider the …
price discovery takes place either in the spot, or the futures market. Here, we consider the …
Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover
The introduction of stock index futures in China in 2010 marked an important development in
the country's financial markets. It was however not without controversy as regulators blamed …
the country's financial markets. It was however not without controversy as regulators blamed …
Intraday price discovery and volatility transmission between the dual-listed stock index futures and spot markets–new evidence from India
S Sundararajan, SA Balasubramanian - International Journal of …, 2023 - emerald.com
Purpose This study empirically explores the intraday price discovery mechanism and
volatility transmission effect between the dual-listed Indian Nifty index futures traded …
volatility transmission effect between the dual-listed Indian Nifty index futures traded …