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Journal of the Operational Research Society Volume 70, 2019 - Issue 10: Computational Approaches and Data Analytics in Financial Services
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Original Articles

Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach

C. J. AdcockSOAS – University of London, London, UK; Correspondence[email protected]
,
C. YeThe University of Sheffield, Sheffield, UK;
,
S. YinThe University of Sheffield, Sheffield, UK;
&
D. ZhangUniversity of Leicester, Leicester, UK
Pages 1709-1719 | Received 08 Aug 2017, Accepted 29 Oct 2018, Published online: 19 Jan 2019

Citations (7)

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Read on this site (2)

Feng Liu, Hao Sun & Rui Peng. (2022) A time-series probabilistic preventive maintenance strategy based on multi-class equipment condition indicators. Journal of the Operational Research Society 73:12, pages 2756-2774.
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Stavroula Yfanti & Menelaos Karanasos. (2022) Financial volatility modeling with option-implied information and important macro-factors. Journal of the Operational Research Society 73:9, pages 2129-2149.
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Articles from other publishers (5)

Shaorong Jin, Chaobo Zhou & Huan Peng. (2023) Does price limit reduce stock price volatility on the limit up and down day?. Finance Research Letters 58, pages 104302.
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Zhaoxiang Zeng, Guojun Wang & Guohao Tang. (2023) Price Limits Hitting Effect and Cross-Sectional Stock Returns: Evidence from China. Finance Research Letters, pages 104803.
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Chris Adcock, Caiwei Ye, Shuxing Yin & Dalu Zhang. (2023) Are Chinese B-shares dead? An analysis of price limits on AB-shares on the Shanghai and Shenzhen Stock Exchanges. International Review of Economics & Finance 85, pages 306-315.
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Liwei Jin, Xianghui Yuan, Xiang Li, Huanglong Ma & Feng Lian. (2022) Would widening price limits improve the efficiency of price discovery?. Finance Research Letters 50, pages 103208.
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Guangtong Gu & Wenjie Zhu. (2021) Time-Varying Transmission Effects of Internet Finance Under Economic Policy Uncertainty and Internet Consumers’ Behaviors: Evidence from China. Journal of Advanced Computational Intelligence and Intelligent Informatics 25:5, pages 554-562.
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