Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets

被引：0

作者：

Jin, Liwei ^{[1
]}

Yuan, Xianghui ^{[1
]}

Wang, Shihao ^{[1
]}

Li, Peiran ^{[1
]}

Lian, Feng ^{[2
]}

机构：

[1] Xi An Jiao Tong Univ, Sch Econ & Finance, 74 Yanta West Rd, Xian 710061, Shaanxi, Peoples R China

[2] Xi An Jiao Tong Univ, Sch Elect & Informat Engn, Xian, Shaanxi, Peoples R China

来源：

JOURNAL OF FUTURES MARKETS | 2022年 / 42卷 / 12期

基金：

中国国家自然科学基金;

关键词：

index futures; price discovery; quote; spread; trade; ERROR-CORRECTION; INFORMATION; SECURITY; ASK; COMPONENTS;

D O I：

10.1002/fut.22368

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we analyze the role that trades and quotes play in price discovery. Based on tick-level data for CSI 300 stock index futures, we find that the contribution of quotes to price discovery does not differ from trades at low resolutions, but dominates at high resolutions. This difference is influenced by spreads and volume. Further analysis reveals that the intraday price contribution of quotes and trades is trending downward, up to 31% in the first half-hour. The adverse selection and liquidity supply cost components of spreads significantly contribute to and dampen the difference in intraday contribution, respectively.

引用

页码：2235 / 2247

页数：13

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