The Shanghai Composite Index (SSE), as a representative composite index of listed companies on the Shanghai Stock Exchange, is a core observation indicator of the systematic risk and price discovery m
We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Averag
The Vietnamese government introduced a change in the minimum tick size for stock trading on 12 September 2016 to improve market quality and reduce trade execution costs. The intended effects of this p
Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertake
