期刊
FINANCE RESEARCH LETTERS
卷 28, 期 -, 页码 376-380出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2018.06.005
关键词
China's crude oil futures; High-frequency data; Intraday seasonality; Realized volatility
资金
- National Natural Science Foundation of China [71573214, 71774152, 91546109]
- Youth Innovation Promotion Association of Chinese Academy of Sciences [Y7X0231505]
- 111 Project [816040]
The launching of China's first crude oil futures contract has marked the start of a new era in the international energy market. Using high frequency transaction data in the first two trading months since its inception in March 2018, this paper seeks to present some fresh and interesting stylized facts about this new comer. Evidence shows that, first, significant jumps exist in the realized volatility; Second, trading volumes have shown clear multiple u-shape patterns, which is consistent with the literature on intraday seasonality. Finally, we document a statistically significant return-volume relationship in the market.
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