Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data

被引：32

作者：

Hou Y. ^{[1
]}

Li S. ^{[2
]}

机构：

[1] International Graduate School of Business, University of South Australia, Adelaide, SA

[2] Graduate School of Business and Law (GSBL), RMIT University, 379-405 Russell Street, Melbourne, VIC

来源：

Asia-Pacific Financial Markets | 2013年 / 20卷 / 1期

关键词：

Common factor measure; CSI300 index futures market; Granger causality; Price discovery; VECM;

D O I：

10.1007/s10690-012-9158-8

中图分类号：

学科分类号：

摘要：

Using high-frequency data, this study investigates price discovery in the newly established stock index (CSI300) futures market in China. Our empirical results reveal new evidence that the CSI300 index futures market play a dominant role in the price discovery process about one year after its inception and new information is disseminated more rapidly in the stock index futures market than the stock market. This is different from findings in the previous literature. Our results also imply that the index futures market has evolved and can be used as a price discovery vehicle. Thus the CSI300 stock index futures market plays an important role in the capital markets in China. © 2012 Springer Science+Business Media, LLC.

引用

页码：49 / 70

页数：21

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