Browsing by Author "Li, Steven"
Now showing items 1-2 of 2
-
Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets
(2017)The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate ... -
Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China
(2018)This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than ...
