Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash
Yang Hou and
Gilbert Nartea ()
MPRA Paper from University Library of Munich, Germany
This paper examines time-varying price discovery of the Chinese stock index futures market during a stock market crash in 2015. We find that the index futures market plays a long-run leading role in terms of its higher static and dynamic generalised information share (GIS) than both the Shanghai and Shenzhen A share markets during the market turbulence. The expected trading volume in each market improves GIS of that market. The importance of trading activities by the majority of investors in increasing market efficiency during a crash is underscored. Government intervention on futures trading impairs price discovery in the futures market.
Keywords: Generalised Information Share; Price Discovery; GARCH model; Chinese stock market crash; Chinese stock index futures (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna, nep-cta, nep-fmk, nep-mst and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81995
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