Relationship between Daily Settlement Price Decision Method and Stock Index Futures Price Discovery Efficiency: A Study of HSI Index Futures

2006 ◽  
Author(s):  
Wang Zhu ◽  
Wu Chong-feng ◽  
Wang Xin-rong
Keyword(s):  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Price Decision ◽  
Decision Method ◽  
Futures Price

scholarly journals The Impact of Restrictive Measures on the Price Discovery Function of Stock Index Futures – Evidence From CSI 500 Stock Index Futures

2018 ◽  
Vol 9 (4) ◽  
pp. 117
Author(s):  
Maoguo Wu ◽  
Zhehao Zhu
Keyword(s):  
Price Discovery ◽  
Spot Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Future Market ◽  
Index Futures ◽  
The Future ◽  
The Difference ◽  
Restrictive Measures ◽  
The Impact

Restrictive measures implemented by governments have a great impact on the price discovery function of stock index futures. This study compares the price discovery function of CSI 500 stock index futures and CSI 500 stock index before and after the implementation of restrictive measures based on the reaction speed to new information, the price ratio of new information and the price contribution of both future market and spot market. It also analyzes the difference between the price discovery function of the future market and that of the spot market and thus proposes policy implications accordingly.Utilizing data of CSI 500 stock index futures in the period of the stock market crash, this study compares the price discovery function before and after the implementation of restrictive measures. By means of the VECM model and common factor analysis, it further investigates the difference in the price contribution of the two markets. Contributing to existing literature on the relationship between the future market and the spot market, this study explores the change in the price contribution of the two markets and therein studies the impact of restrictive measures on the price discovery function. Empirical evidence finds that before the implementation of restrictive measures, the price discovery function worked more efficiently, while, however, after the implementation of restrictive measures, the price discovery function did not work. Hence, stock index futures do assist in the price discovery of the spot market. In some special time periods, however, due to the impact of restrictive policies, the price contribution of the spot market exceeded that of the future market, implying that the price discovery function of the CSI 500 stock index future market is unstable.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

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