Intraday Volatility and Volume in China's Stock Index and Index Futures Markets

被引：5
作者：
Nishimura, Yusaku [1 ]
Sun, Bianxia [2 ]
机构：
[1] Univ Int Business & Econ, Inst Int Econ, Beijing, Peoples R China
[2] South Univ Sci & Technol China, Dept Financial Math & Financial Engn, Room 313,Fac Bldg 2, Shenzhen 518055, Peoples R China
来源：
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2015年 / 44卷 / 06期
关键词：
Intraday volume; Intraday volatility; FIEGARCH model; Stock index futures; Information transmission; TRADING VOLUME; CONDITIONAL HETEROSKEDASTICITY; MICROSTRUCTURE NOISE; REALIZED VARIANCE; PRICE DISCOVERY; LONG MEMORY; RETURNS; TRANSMISSION; INFORMATION; EXCHANGE;
D O I：
10.1111/ajfs.12117
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the effects of intraday trading volume on return volatility across China's stock index and index futures markets using 5-min intraday data. The periodic characteristics of intraday data are considered and a FIEGARCH model is employed to allow for long memory properties of intraday volatility. We find that volume has significant positive influences on volatility across the two markets, and that the impact of futures volume on spot volatility is significantly stronger than the impact of spot volume on futures volatility. These findings indicate a stronger information flow from the futures market to the spot market than vice versa, which might result from current access restrictions on investors in China's stock index futures market.
引用
收藏
页码：932 / 955
页数：24
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