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

Qian Han, Chengzhi Zhao, Jing Chen and Qian Guo

Emerging Markets Review, 2025, vol. 67, issue C

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.

Keywords: Price discovery; Frequency of market update; Chinese stock index futures; Lead-lag relationship; Microstructure noise (search for similar items in EconPapers)
JEL-codes: G10 G13 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561

DOI: 10.1016/j.ememar.2025.101307

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