Price discovery in Chinese stock index futures market: new evidence based on intraday data

DOI10.1007/S10690-012-9158-8zbMath1282.91385OpenAlexW2027530807MaRDI QIDQ1945436

Steven Li, Yang Hou

Publication date: 8 April 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9158-8

zbMATH Keywords

Granger causalityVECMprice discoverycommon factor measureCSI300 index futures market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction ⋮ Are tightened trading rules always bad? Evidence from the Chinese index futures market

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