Intraday and intraweek volatility patterns of Hang Seng Index and index futures, and a test of the wait-to-trade hypothesis
GYN Tang, DTW Lui - Pacific-Basin Finance Journal, 2002 - Elsevier
This paper examines the intraday and intraweek volatility patterns and tests the wait-to-trade
hypothesis using 24-hour interday returns and 15-minute intraday returns on the Hang Seng …
hypothesis using 24-hour interday returns and 15-minute intraday returns on the Hang Seng …
[HTML][HTML] Speed of Adjustment and Infraday/Intraday Volatility in the Italian Stock and Futures Markets
P Gottardo - Modern Economy, 2011 - scirp.org
We estimate the speed of adjustment of prices to value changes in the Italian stock and
futures markets using variances in different return intervals. The paper presents evidence …
futures markets using variances in different return intervals. The paper presents evidence …
[PDF][PDF] Waiting to Invest in the New Zealand Stock Market
DFS Choi, TY Fu - nzfc.ac.nz
Waiting to Invest in the New Zealand Stock Market Page 1 1 Waiting to Invest in the New
Zealand Stock Market Daniel FS Choi and Tian Yong Fu Department of Finance, Waikato …
Zealand Stock Market Daniel FS Choi and Tian Yong Fu Department of Finance, Waikato …
[CITATION][C] Are Stock Index Futures More Volatile Than Cash Index?: An Interday and Intraday Analysis from an Emerging Market
GYN Tang - 1997 - Business Research Centre, School …