Price duration, returns, and volatility estimation: Evidence from China's stock index futures market

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE Borsa Istanbul Review Pub Date : 2024-10-01 DOI:10.1016/j.bir.2024.06.008
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Abstract

This study estimates the returns and volatility in the China's stock index futures market. Our approach introduces a novel consideration of price duration, a factor that we integrate into our models to enhance the estimation of volatility. We construct a stochastic conditional duration (SCD) model to investigate the price duration and extend the classical generalized autoregressive conditional heteroskedastic (GARCH) model by taking into account price duration and more microstructure variables to investigate their influence on returns and volatility. We investigate in detail the moderating effect of the limiting trade rule, an exogenous policy shock, on returns and volatility. We find that significant clustering exists in price duration and that during the midday break in trading, subsequent price duration and returns decline, whereas volatility increases. Price duration and open interest both have a negative effect on returns and volatility, whereas trading volume has a positive effect on them.
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价格持续时间、收益和波动率估算:来自中国股指期货市场的证据
本研究估算了中国股指期货市场的收益率和波动率。我们的方法引入了对价格持续时间的新考虑,我们将这一因素纳入模型以增强对波动率的估计。我们构建了一个随机条件期限(SCD)模型来研究价格期限,并通过考虑价格期限和更多微观结构变量来扩展经典的广义自回归条件异方差(GARCH)模型,以研究它们对收益率和波动率的影响。我们详细研究了限制性贸易规则这一外生政策冲击对收益率和波动率的调节作用。我们发现,价格持续时间存在明显的聚类现象,在午间休市期间,随后的价格持续时间和收益率会下降,而波动率会上升。价格持续时间和未平仓合约对收益率和波动率都有负面影响,而交易量则对它们有正面影响。
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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