{"title":"Price duration, returns, and volatility estimation: Evidence from China's stock index futures market","authors":"","doi":"10.1016/j.bir.2024.06.008","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3000,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000991","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
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