We thank Warren Bailey, Hui Chen, Hung-gay Fung, Bob Webb (the editor), an anonymous referee, and conference/seminar participants at the Seventh Chinese Finance Association Annual Meetings, Nankai University, Southern Fund Management Co. Ltd for helpful comments on earlier versions. Z. Yang gratefully acknowledges financial support from the Humanities and Social Sciences grant of the Chinese Ministry of Education (08JC790104), Guangdong Universities Humanities and Social Sciences Yumiao Fund (WYM08024), the Foundation for the Authors of Excellent Doctoral Dissertation of Guangdong Province (sybzzxm201003), the Fundamental Research Funds for the Central Universities, and the research grant from the Economic Research Center at Sun Yat-Sen University.
Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China†
Article first published online: 1 MAR 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 2, pages 99–121, February 2012
How to Cite
Yang, J., Yang, Z. and Zhou, Y. (2012), Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. J. Fut. Mark., 32: 99–121. doi: 10.1002/fut.20514
- Issue published online: 2 DEC 2011
- Article first published online: 1 MAR 2011
- Manuscript Accepted: DEC 2010
- Manuscript Received: OCT 2010
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