THE INFORMATION CONTENT OF OPEN INTEREST FOR THE REALIZED RANGE-BASED VOLATILITY: EVIDENCE FROM CHINESE FUTURES MARKET

Tseng-chan TSENG; Hung-cheng LAİ; Conghua WEN

doi:https://doi.org/10.17261/Pressacademia.2018.1001

Makale detayları

THE INFORMATION CONTENT OF OPEN INTEREST FOR THE REALIZED RANGE-BASED VOLATILITY: EVIDENCE FROM CHINESE FUTURES MARKET

Yazarlar:

Tseng-chan TSENG | Hung-cheng LAİ | Conghua WEN

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2018 Vol.5 Issue 4, pp.339-348

Belge Tipi:

Makale

Yayın Tarihi:

12/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000738636

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2018.1001

Özet:

 


Purpose - The paper studies the impact of the infroamtion content of open interst on the realized range-based vaolatility of Chinese futures markets.

Methodology- We employ a hybrid range-based estimator to measure the integrated variance in the heterogeneous autoregressive (HAR) model, which also incorporates the variable of open interest into the HAR model on index futures prices of China Securities Index (CSI) 300.

Findings- Our findings demonstrate that the variable of open interest has a significant explanatory power with regard to the future realized volatility of the CSI 300 index futures.

Conclusion- The modified model enhances volatility forecasting performance, thereby indicating it has more accurate predictive power. Our results provide supports for the implication of the sequential information arrival hypothesis.

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Makale detayları

THE INFORMATION CONTENT OF OPEN INTEREST FOR THE REALIZED RANGE-BASED VOLATILITY: EVIDENCE FROM CHINESE FUTURES MARKET

Yazarlar: Tseng-chan TSENG | Hung-cheng LAİ | Conghua WEN

Yayıncı: PressAcademia

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Journal of Economics Finance and Accounting 2018 Vol.5 Issue 4, pp.339-348

Belge Tipi: Makale

Yayın Tarihi: 12/2018

Belge Dili: İngilizce

Document ID (Org No.): 2000738636

Sıklık: Üç Aylık

eISSN: 2148-6697

DOI: https://doi.org/10.17261/Pressacademia.2018.1001

Sayı

Yazarlar:

Tseng-chan TSENG | Hung-cheng LAİ | Conghua WEN

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2018 Vol.5 Issue 4, pp.339-348

Belge Tipi:

Makale

Yayın Tarihi:

12/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000738636

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2018.1001