The Price Discovery Processes in China, India, and Russia's Stock Index Futures Markets

In this paper, we examine the price discovery patterns in the three BRICS countries' stock index futures markets which were launched after 2000 - China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures' price discovery functions from China's regulatory changes in September 2015 and Russia's economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.