The implied arbitrage mechanism in financial markets

Chen, Shiyi; Chng, Michael T.; Liu, Qingfu

doi:10.1016/j.jeconom.2020.07.011

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St‐vecm‐garch and Gg Measure1

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Cited by 3 publications

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“…Following Chen et al (2020), we employ the ST‐VECM (Anderson, 1997) accompanied by the GARCH model (Bollerslev, 1986). We first test the lead–lag relationship in price discovery based on the VECM model and then examine volatility spillover with the multi‐GARCH model.…”

Section: St‐vecm‐garch and Gg Measurementioning

confidence: 99%

The pricing mechanism between ETF option and spot markets in China

Liu

Tao

et al. 2021

Journal of Futures Markets

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This paper investigates the price discovery and volatility spillover effects between the exchange-traded fund (ETF) option and spot markets in China.Employing a sample of China Securities Index (CSI) 300 ETF options and spots, we find that the CSI 300 ETF options interact with the spot markets, with the CSI 300 ETF options contributing more than the spots in terms of pricing efficiency, especially on the Shanghai Stock Exchange (SSE). We further find that the option markets on the SSE can dominate the option markets on the Shenzhen Stock Exchange, revealing investors' trading behaviors across different markets.

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Section: St‐vecm‐garch and Gg Measurementioning

confidence: 99%