... between stock market volatility and mixed-frequency investor sentiment. Principal analysis and MIDAS-GARCH model are used to calibrate the impact of investor sentiment on the large-horizon components of volatility of Shanghai composite stocks. Findings The results show that the volatility in Chinese...

... the data mining method for the empirical studies of the relationship between the trading duration and the market quality indicators such as market volatility, trading information content, liquidity, etc. However, we have found a lot of disagreements or even conflicts in the conclusions of the studies...