Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis

Xiaojie Xu ()
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Xiaojie Xu: North Carolina State University

Empirical Economics, 2018, vol. 54, issue 3, No 15, 1267-1295

Abstract: Abstract This study investigates linear and nonlinear price information flows between the Chinese Stock Index 300 (CSI300) and futures market using high-frequency data and their wavelet transformed series for three regimes for which stock short-selling restrictions in China are different. Empirical results generally indicate information feedback between these two markets regardless of assumptions of linear and nonlinear causality and regimes for original series and wavelet transformed data at different scales.

Keywords: CSI300; Spot; Futures; Information flow; Causality; Wavelet method (search for similar items in EconPapers)
JEL-codes: C32 G13 G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00181-017-1245-2

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