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

Adcock, C., Ye, C., Yin, S. et al. (1 more author) (2019) Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach. Journal of the Operational Research Society. ISSN 0160-5682

Abstract

Metadata

Authors/Creators:
  • Adcock, C.
  • Ye, C.
  • Yin, S.
  • Zhang, D.
Copyright, Publisher and Additional Information: © 2019 Operational Research Society. This is an author-produced version of a paper accepted for publication in Journal of the Operational Research Society. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Price limits; delayed price discovery; volatility; spillover; truncated return distributions
Dates:
  • Accepted: 29 October 2018
  • Published (online): 19 January 2019
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 13 Nov 2018 12:57
Last Modified: 06 Feb 2019 16:29
Published Version: https://doi.org/10.1080/01605682.2018.1542973
Status: Published online
Publisher: Taylor & Francis
Refereed: Yes
Identification Number: https://doi.org/10.1080/01605682.2018.1542973

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Filename: Shuxing Yin AYYZ-Price-Limits-Paper-181013.pdf

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