Data for: Effects of Change in Commission Fees on China Futures Market

Name: Data for: Effects of Change in Commission Fees on China Futures Market
Creator: Tong Zhang
Published: 2019-05-09T07:28:29.687Z
Keywords: Commodity Market, Market Microstructure, Trading Volume

Zhang, Tong; WU, Yu

doi:10.17632/kbpwg2nhzh.1

Data for: Effects of Change in Commission Fees on China Futures Market

Published: 9 May 2019| Version 1 | DOI: 10.17632/kbpwg2nhzh.1

Contributors:

Tong Zhang, Yu WU

Description

Data contains the daily trading volume, return volatility, and bid-ask spread for zinc and rubber futures contracts calculated by using a 500 ms high frequency intraday quote and trade data set. The high frequency data published by SHFE is downloaded from Huaxi Futures Company, which is one of the exchange members in SHFE.

Data for: Effects of Change in Commission Fees on China Futures Market

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