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Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China

Author

Listed:
  • Han, Qian
  • Zhao, Chengzhi
  • Chen, Jing
  • Guo, Qian

Abstract

Uniquely addressing asynchronous informational update between index and futures, we find that reduction in data frequency depicts a dual effect of “noise reduction” and “speed reduction” on Hasbrouck's (1995) information share (IS) and Gonzalo-Granger's (1995) component share (CS) indicators. Furthermore, the “noise reduction” effect does not exist significantly on CS, thereby preventing Putniņš's (2013) information leading share (ILS) indicator from eliminating noise under low-frequency data. Our novel leading time (LT) indicator suggests that the Shanghai-Shenzhen Stock Exchange 300 (CSI 300) and China Stock Exchange 500 (CSI 500) futures dominate price discovery. An asynchronous informational update overestimates the price discovery ability of futures.

Suggested Citation

  • Han, Qian & Zhao, Chengzhi & Chen, Jing & Guo, Qian, 2025. "Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China," Emerging Markets Review, Elsevier, vol. 67(C).
    • Handle: RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561
    DOI: 10.1016/j.ememar.2025.101307
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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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