The risk measurement of Hushen 300 index futures market based on liquidity adjusted returns

被引：0

作者：

Liu, Xiang-Li ^{[1
]}

Chang, Yun-Bo ^{[1
,2
]}

机构：

[1] School of Finance, Central University of Finance and Economics, Beijing,100081, China

[2] International Department, Agricultural Bank of China, Beijing,100005, China

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2015年 / 35卷 / 07期

关键词：

D O I：

暂无

中图分类号：

学科分类号：

摘要：

引用

页码：1760 / 1769

共 50 条

[41] Modeling liquidity risk, with implications for traditional market risk measurement and management
Bangia, A
Diebold, FX
Schuermann, T
Stroughair, JD
RISK MANAGEMENT: THE STATE OF THE ART, 2002, 8 : 3 - 13
[42] COVID-19 and liquidity risk, exploring the relationship dynamics between liquidity cost and stock market returns
Saleemi, Jawad
NATIONAL ACCOUNTING REVIEW, 2021, 3 (02): : 218 - 236
[43] Effects of the Introduction of the CSI 300 Index Futures on the Underlying Stock Market Quality
Meng, Hailiang
Yin, Jielin
EDUCATION INNOVATION AND PRACTICE, VOL II, 2016, : 715 - 720
[44] Macroeconomic announcements and price discovery in the CSI 300 stock index futures market
Zhou, Zhou
Cheng, Si-Wei
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2013, 33 (12): : 3045 - 3053
[45] Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market
Chen, Chen
Lee, Hsiu-Chuan
Liao, Tzu-Hsiang
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2016, 35 : 203 - 225
[46] Analysis of the CSI300 Index Futures' Influence on the Volatility of the Spot Market
Zhao Zhenyu
Geng Yan
PROCEEDINGS OF THE 2014 INTERNATIONAL CONFERENCE ON MECHATRONICS, ELECTRONIC, INDUSTRIAL AND CONTROL ENGINEERING, 2014, 5 : 790 - 794
[47] Less disagreement, better forecasts: Adjusted risk measures in the energy futures market
Zhang, Ning
Gong, Yujing
Xue, Xiaohan
JOURNAL OF FUTURES MARKETS, 2023, 43 (10) : 1332 - 1372
[48] The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns
Hou, Yang
Li, Steven
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2014, 33 : 319 - 337
[49] A NOTE ON THE EFFECTS OF THE INITIATION OF MAJOR MARKET INDEX FUTURES ON THE DAILY RETURNS OF THE COMPONENT STOCKS
LAATSCH, FE
JOURNAL OF FUTURES MARKETS, 1991, 11 (03) : 313 - 317
[50] The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market
Illueca, M.
Lafuente, J. A.
JOURNAL OF FUTURES MARKETS, 2007, 27 (09) : 839 - 866

← 1 2 3 4 5 →