The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China

Feng Xu and Difang Wan

Finance Research Letters, 2015, vol. 15, issue C, 221-231

Abstract: Using both information shares and common factor component weight approaches, we calculate the price discovery between the CSI 300 index futures market and the Chinese A-share market. We find that the futures market contributes more to the price discovery process. Furthermore, employing the classified data of institutional and individual trading volume, we investigate the impacts of institutions and individuals on the price discovery performance of futures market. The results show that institutional trading positively improves the futures market's contribution to price discovery, whereas individual trading is found to have an adverse impact on the price efficiency in the futures market.

Keywords: Institutional investors; Individual investors; Stock index futures market; Price discovery; Informed investors; Noise traders (search for similar items in EconPapers)
JEL-codes: G14 G23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612315000975
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:221-231

DOI: 10.1016/j.frl.2015.10.002

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().