A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

Biao Guo, Qian Han, Maonan Liu and Doojin Ryu

Emerging Markets Finance and Trade, 2013, vol. 49, issue S4, 197-212

Abstract: This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities Index 300 index futures dominate Singapore's A50 index futures in both intraday price discovery and intraday volatility transmission. However, A50 futures contracts also make a substantial contribution (26-37 percent) to the price discovery process. These results have important implications for both traders and policymakers.

Keywords: A50; CSI300; futures market; information share; price discovery; volatility transmission (search for similar items in EconPapers)
Date: 2013
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