 Price Discovery in the Chinese Stock Index Futures MarketJing Hao, Xiong Xiong, Feng He and Feng Ma Emerging Markets Finance and Trade, 2019, vol. 55, issue 13, 2982-2996 Abstract: We investigate China’s three stock index futures, and their underlying index in Chinese financial markets, to test their long- and short-run price discovery ability. Additionally, we analyze the regulation change of September 7, 2015, which greatly affected the futures market by imposing restrictions on trading volumes. The results suggest that the futures market tends to dominate price discovery compared with the corresponding stock indices, and that this effect became stronger in the post-regulation period. However, CSI 500 index futures initiate price discovery in the futures market, whereas the SSE50 lead spot market indices before the September 2015 regulation. A crash in CSI 500 futures would easily result in a market-wide crisis, as we conclude from analysis of monthly price discovery dynamics. This suggests one possible explanation for the market crash of 2015. Our results provide the first description of whole futures market price discovery characteristics in the Chinese stock market. Date: 2019 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:55:y:2019:i:13:p:2982-2996 Ordering information: This journal article can be ordered from DOI: 10.1080/1540496X.2019.1598368 Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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