Ru Xiao
Biographic Data
| ID | 7544345 |
|---|---|
| NAME | Ru Xiao |
| GIVEN NAMES | Ru |
| FAMILY NAME | Xiao |
| SIGNATURE | XIAO R |
| AFFILIATIONS | Business School, Hunan University, Changsha, China |
| ORCID | 0000-0002-1301-5469 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
The time-varying lead-lag relationship between index futures and the cash index and its factors
This paper investigates the time-varying lead-lag relationship between CSI 300 index futures and the cash index at intraday and daily frequencies under different market conditions, which is crucial in the price discovery research but rarely examined by the literature. Using a new method that is based on dynamic time warping and can capture the dynamic lead-lag relationship up to the intraday level, we find that index futures tend to lead the cash…
No prominent works on this page.
The time-varying lead-lag relationship between index futures and the cash index and its factors
This paper investigates the time-varying lead-lag relationship between CSI 300 index futures and the cash index at intraday and daily frequencies under different market conditions, which is crucial in the price discovery research but rarely examined by the literature. Using a new method that is based on dynamic time warping and can capture the dynamic lead-lag relationship up to the intraday level, we find that index futures tend to lead the cash…
Cash (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Engineering (1 work) · Finance (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Futures contract (1 work)