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The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market

Author

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  • Qiang Liu

    (Southwestern University of Finance and Economics)

  • Gaoxiu Qiao

    (Southwest Jiaotong University)

Abstract

This paper reports a study of the evolution of the intraday price discovery of the Chinese CSI 300 stock index futures, utilizing minute-by-minute data for the two consecutive periods of April 16, 2010–July 30, 2010 and August 2, 2010–June 15, 2011. Innovatively, the empirical analysis employs a no-arbitrage-based error correction model (ECM) between the index and the theoretical index implied by the futures’ price. It is found that futures followed the index in the first period, but evolved to lead the spot in the second period. Interestingly, however, futures led within 30 min of the spot’s opening in each trading day, even in the initial first period of the futures trading. Fortuitously, the ECM seems to yield reasonable estimates for the arbitrage cost.

Suggested Citation

  • Qiang Liu & Gaoxiu Qiao, 2017. "The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market," Empirical Economics, Springer, vol. 52(4), pages 1569-1585, June.
    • Handle: RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1115-3
    DOI: 10.1007/s00181-016-1115-3
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    References listed on IDEAS

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    Cited by:

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    3. Yang Hou & Steven Li & Fenghua Wen, 2021. "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 91-110, July.

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    More about this item

    Keywords

    Intraday price discovery; CSI 300 stock index futures; Minute-by-minute data; Vector error correction model; Implied theoretical index price;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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