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
收藏
页码：2235 / 2247
页数：13
相关论文
共 50 条
  • [31] Price Discovery in Index Futures Market
    Zhou, Zhou
    Wei, Zhuo
    Wang, Shouyang
    [J]. 2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE), 2012, : 257 - 261
  • [32] Order Imbalance and Intraday Price Discovery: Evidence from Chinese Stock Markets
    Zhang, Zhaohui
    Wang, Jiamin
    Bremer, Ronald
    [J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2011, 14 (04) : 693 - 714
  • [33] Price discovery in spot and futures markets: a reconsideration
    Theissen, Erik
    [J]. EUROPEAN JOURNAL OF FINANCE, 2012, 18 (10): : 969 - 987
  • [34] The profitability of index futures arbitrage: Evidence from bid-ask quotes
    Bae, KH
    Chan, K
    Cheung, YL
    [J]. JOURNAL OF FUTURES MARKETS, 1998, 18 (07) : 743 - 763
  • [35] The Price Discovery Processes in China, India, and Russia's Stock Index Futures Markets
    Liu, Qingfeng Wilson
    Sono, Hui
    Zhang, Wei
    [J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2021, 24 (03)
  • [36] Price Discovery of Stock Index Futures Between Chinese Cross-straits
    Duan Mei
    Zheng Ming
    [J]. PROCEEDINGS OF THE 2013 INTERNATIONAL CONFERENCE ON ADVANCES IN SOCIAL SCIENCE, HUMANITIES, AND MANAGEMENT, 2013, 43 : 669 - 674
  • [37] Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India
    Manogna, R. L.
    Mishra, Aswini Kumar
    [J]. JOURNAL OF AGRIBUSINESS IN DEVELOPING AND EMERGING ECONOMIES, 2020, 10 (04) : 447 - 473
  • [38] Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets
    Wang, Janchung
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2011, 47 (01) : 61 - 77
  • [39] Trading activity and price discovery in Bitcoin futures markets
    Hung, Jui-Cheng
    Liu, Hung-Chun
    Yang, J. Jimmy
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2021, 62 : 107 - 120
  • [40] Trading behaviors on knowledge of price discovery in futures markets
    Gong, Qingbin
    Tang, Zili
    Xu, Bing
    [J]. JOURNAL OF INNOVATION & KNOWLEDGE, 2021, 6 (03): : 191 - 195
12345