169
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Dynamics of Intraday Serial Correlation in China's Stock Market

, &
Pages 1637-1650 | Received 28 Jun 2010, Accepted 03 Mar 2011, Published online: 09 Aug 2011

References

  • Ait-Sahalia , Y. , Jacod , J. ( 2009 ). Testing for jumps in a discretely observed process . Annals of Statistics 37 : 184 – 222 .
  • Andersen , T. G. , Bollerslev , T. ( 1998 ). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts . International Economic Review 39 ( 4 ): 885 – 905 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. ( 2007 ). Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility . The Review of Economics and Statistic 89 ( 4 ): 701 – 720 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. , Labys , P. ( 2001 ). The distribution of realized exchange rate volatility . Journal of the American Statistical Association 96 ( 453 ): 42 – 55 .
  • Atchison , M. D. , Butler , K. C. , Simonds , R. R. ( 1987 ). Nonsynchronous security trading and market index autocorrelation . Journal of Finance 42 ( 1 ): 111 – 119 .
  • Barndorff-Nielsen , O. E. , Shephard , N. ( 2002 ). Estimating quadratic variation using realized variance . Journal of Applied Econometrics 17 ( 5 ): 457 – 477 .
  • Barndorff-Nielsen , O. E. , Shephard , N. ( 2004 ). Power and bipower variation with stochastic volatility and jumps . Journal of Financial Econometrics 2 ( 1 ): 1 – 37 .
  • Barndorff-Nielsen , O. E. , Shephard , N. ( 2006 ). Econometrics of testing for jumps in financial economics using bipower variation . Journal of Financial Econometrics 4 ( 1 ): 1 – 30 .
  • Bianco , S. , Reno , R. ( 2006 ). Dynamics of intraday serial correlation in the Italian futures market . Journal of Futures Markets 26 ( 1 ): 61 – 84 .
  • Bianco , S. , Reno R. ( 2009 ). Unexpected volatility and intraday serial correlation . Quantitative Finance 1 : 1 – 11 .
  • Corsi , F. ( 2004 ). A Simple Long Memory Model of Realized Volatility. Technical report, Lugano, Switzerland, University of Lugano , pp. 1 – 28 .
  • Fama , E. ( 1970 ). Efficient capital markets: a review of theory and empirical work . Journal of Finance 25 : 383 – 417 .
  • Goodhart , C. A. E. , Figliuoli , L. ( 1991 ). Every minute counts in financial markets . Journal of International Money and Finance 10 : 23 – 52 .
  • Huang , X. , Tauchen , G. ( 2005 ). The relative contribution of jumps to total price variance . Journal of Financial Econometrics 3 ( 4 ): 456 – 499 .
  • Jiang , G. , Oomen , R. C. A. ( 2008 ). Testing for jumps when asset prices are observed with noise-a “swap variance” approach . Journal of Econometrics 144 ( 2 ): 352 – 370 .
  • LeBaron , B. ( 1992 ). Some relations between volatility and serial correlation in stock market returns . Journal of Business 65 ( 2 ): 199 – 219 .
  • Lo , A. W. , MacKinlay , A. C. ( 1988 ). Stock market prices do not follow random walks: evidence from a simple specification test . The Review of Financial Studies 1 : 41 – 66 .
  • Lo , A. W. , MacKinlay , A. C. (1989). The size and the power of the variance ratio test in finite samples: a Monte Carlo investigation. Journal of Econometrics 40:203–238.
  • Low , A. , Muthuswamy , J. ( 1996 ). Information flows in high frequency exchange rates . In: Forecasting Financial Markets: Exchange Rates, Interest Rates, and Asset Management , C. Dunis , Rd., New York : Wiley , Ch. 1.
  • McNish , T. H. , Wood , R. A. ( 1991 ). Hourly returns, volume, trade size, and number of stocks . Journal of Financial Research 14 ( 4 ): 303 – 315 .
  • Muller , U. , Dacorogna , M. , Dav , R. , Olsen , R. , Pictet , O. , von Weizsacker , J. ( 1997 ). Volatilities of different time resolutions -analysing the dynamics of market components . Journal of Empirical Finance 4 : 213 – 239 .
  • Newey , W. K. , West , K. D. ( 1987 ). A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica 55 ( 3 ): 703 – 708 .
  • Richardson , M. , T. Smith . ( 1993 ). Test of financial models in the presence of overlapping observations . Review of Financial Studies 4 ( 2 ): 227 – 254 .
  • Roll , R. ( 1984 ). A simple measure of the implicit bid-ask spread in an efficient market . Journal of Finance 39 : 1127 – 1139 .
  • Thomas , S. , Patnaik , T. ( 2003 ). Variance-ratio Tests and High-frequency Data: A Study of Liquidity and Mean Reversion in the Indian Equity Markets. Working Paper, available at http:\\papers.ssrn.com\\3\papers.cfm?abstract_id-357982 .
  • Wu , B. , Ma , H. ( 2008 ). Probability distribution and time-correlation of shanghai stock exchange composite index . Journal of Shanghai Jiao Tong University 48 ( 1 ): 147 – 151 .
  • Yu , Y. , Li , Y. , Yu , K. ( 2005 ). The study on efficient market hypothesis based on high frequency data . Statistic and Decision ( 9 ): 29 – 30 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.