IDEAS home Printed from https://ideas.repec.org/a/eee/ememar/v67y2025ics1566014125000561.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1566014125000561
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ememar.2025.101307?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Price discovery; Frequency of market update; Chinese stock index futures; Lead-lag relationship; Microstructure noise;
    All these keywords.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620356 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.