Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017)

Intraday Trading Patterns in the SSE 50 ETF Option

Authors
Tongtong Xu, Susheng Wang, Ke Peng, Dandan You, Mingzhu Hu
Corresponding Author
Tongtong Xu
Available Online July 2017.
DOI
10.2991/essaeme-17.2017.370How to use a DOI?
Keywords
the SSE 50 ETF Option, intraday trading patterns, return, volatility.
Abstract

The purpose of this article is to explore the Shanghai Stock Exchange (SSE) 50 ETF Option's intraday trading patterns which include return and volatility. We get the SSE 50 ETF option's intraday trading patterns by charts, descriptive statistics and Wilcoxon rank sum test. We find that the call option's return has no obvious intraday pattern and the put option's return roughly follows an LM-shaped pattern; The call option's volatility roughly follows an L-shaped pattern and the put option's volatility roughly follows an LM-shaped pattern.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2017
ISBN
978-94-6252-367-8
ISSN
2352-5398
DOI
10.2991/essaeme-17.2017.370How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Tongtong Xu
AU  - Susheng Wang
AU  - Ke Peng
AU  - Dandan You
AU  - Mingzhu Hu
PY  - 2017/07
DA  - 2017/07
TI  - Intraday Trading Patterns in the SSE 50 ETF Option
BT  - Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017)
PB  - Atlantis Press
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-17.2017.370
DO  - 10.2991/essaeme-17.2017.370
ID  - Xu2017/07
ER  -