... © Emerald Publishing Limited 2021 Emerald Publishing Limited Licensed re-use rights only Realized volatility forecasting Internet information High-frequency data Baidu index Internet forum As the proxy of risk, volatility attracts considerable attention of numerous researchers...

...Mingyuan Guo; Xu Wang Purpose – The purpose of this paper is to analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data. Design/methodology/approach – Using a multiplicative error model (hereinafter MEM) to describe...

.... Design/methodology/approach – Using high-frequency data, this study adopts event study method to examine the intraday abnormal returns as well as the volatility of stock price before and after the announcement of nature disaster and PSA. Findings – First, both nature disaster announcement and PSA...