Identifying the role of consumer and producer price index announcements in stock index futures price changes

Guofang Liu, Xi Fang, Yuan Huang and Weidong Zhao

Economic Analysis and Policy, 2021, vol. 72, issue C, 87-101

Abstract: This study examines the impact of Chinese macroeconomic announcements regarding consumer price index (CPI) and producer price index (PPI) on the China Security Index 300 futures. We find that when the surprise direction of CPI news is consistent with that of PPI, the reactions of stock index futures price to CPI announcements are stronger. Considering the heterogeneity of financial institutions, both PPI and CPI announcements have a more significant impact on the price of stock index futures. Furthermore, the impact of macroeconomic news announcements on the price of stock index futures is related to investors’ trust in financial institutions. The news surprise of financial institutions with high forecast accuracy and rich forecasting experience has a more significant effect on stock index futures.

Keywords: News surprise; Institutional heterogeneity; Forecast accuracy; Forecasting experience (search for similar items in EconPapers)
JEL-codes: C23 G13 G14 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101

DOI: 10.1016/j.eap.2021.07.009

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