Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data
Authors:
- Guangxi CaoGCGuangxi Cao
- Yan HanYHYan Han
- Weijun CuiWCWeijun Cui
- Yu GuoYGYu Guo
- 1 November 2014
- journal article
- Published by Elsevier in Physica A: Statistical Mechanics and its Applications
- Vol. 414, 308-320
Abstract
No abstract availableKeywords
Funding Information
- National Natural Science Foundation of China (71371100, 71271118, 70901044)
- Ministry of Education of the People’s Republic of China (13YJCZH007)
This publication has 43 references indexed in Scilit:
- The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock marketApplied Financial Economics, 2007
- Price discovery and volatility spillovers in index futures markets: Some evidence from MexicoJournal of Banking & Finance, 2004
- The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock ExchangeApplied Financial Economics, 2004
- The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contractApplied Economics Letters, 2000
- Unified tests of causality and cost of carry: the pricing of the French stock index futures contractInternational Journal of Finance & Economics, 2000
- Macroeconomic Variables and Stock Prices in Malaysia: An Empirical AnalysisAsian Economic Journal, 1999
- Does futures trading increase stock market volatility? The case of the Nikkei stock index futures marketsJournal of Banking & Finance, 1999
- The effect of index futures trading on volatility of HSI constituent stocks: A notePacific-Basin Finance Journal, 1997
- Using intraday data to test for effects of index futures on the underlying stock marketsJournal of Futures Markets, 1994
- The Impact of Index Futures Markets On Australian Sharemarket VolatilityJournal of Business Finance & Accounting, 1991