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

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  • Yang Hou
  • Steven Li

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    Abstract

    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. Copyright Springer Science+Business Media, LLC. 2013

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    File URL: http://hdl.handle.net/10.1007/s10690-012-9158-8
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 20 (2013)
    Issue (Month): 1 (March)
    Pages: 49-70

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    Handle: RePEc:kap:apfinm:v:20:y:2013:i:1:p:49-70

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

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

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