Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico

2003 ◽  
Author(s):  
Maosen Zhong ◽  
Ali F. Darrat ◽  
Rafael Otero
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures ◽  
Volatility Spillovers

Does Index Futures Dominate Index Spot? Evidence from Taiwan Market

2002 ◽  
Vol 05 (02) ◽  
pp. 255-275 ◽  
Author(s):  
Ching-Chung Lin ◽  
Shen-Yuan Chen ◽  
Dar-Yeh Hwang ◽  
Chien-Fu Lin
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
Spot Market ◽  
Stock Index ◽  
Index Futures ◽  
Volatility Spillovers ◽  
Egarch Model ◽  
Intraday Data

By utilizing vector error correction model (VECM) and EGARCH model, this article uses 5-minute intraday data to examine the interaction of return and volatility between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the newly introduced TAIEX futures. VECM model shows that there exists bi-directional Granger causality between index spot and index futures markets, but spot market plays a more important role in price discovery. The results of impulse response function and information share indicate that most of the price discovery happens in index spot market. The evidence of EGRACH shows that the impacts of spot and futures innovations are asymmetrical, and the volatility spillovers between spot and futures markets are bi-directional. However, the information flow from spot to futures is stronger. These results suggest that the TAIEX spot market dominates the TAIEX futures market in terms of return and volatility.

scholarly journals PRICE DISCOVERY AND VOLATILITY TRANSMISSION IN AUSTRALIAN REIT CASH AND FUTURES MARKETS

2016 ◽  
Vol 20 (2) ◽  
pp. 113-129 ◽  
Author(s):  
Ming-Te LEE ◽  
Shew-Huei KUO ◽  
Ming-Long LEE ◽  
Chyi Lin LEE
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Futures Market ◽  
Real Estate Investment Trust ◽  
Real Estate Investment ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Cash Market ◽  
The Relationship

This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.

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.

Price Discoveries and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty

2009 ◽  
Vol 34 (2) ◽  
pp. 41-56 ◽  
Author(s):  
Madhusudan Karmakar
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spot Market ◽  
The Other ◽  
Future Market ◽  
Volatility Spillovers ◽  
Long Run ◽  
Cash Market ◽  
Cointegration Tests ◽  
First Moment

In a perfectly functioning world, every piece of information should be reflected simultaneously in the underlying spot market and its futures markets. However, in reality, information can be disseminated in one market first and then transmitted to other markets due to market imperfections. And, if one market reacts faster to information than the other, a lead-lag relation is observed The lead-lag relationship in returns and volatilities between spot and futures markets is of interest to academics, practitioners, and regulators. In India, there are very few studies which have investigated the lead-lag relationship in the first moment of the spot and futures markets This study investigates the lead-lag relationship in the first moment as well as the second moment between the S&P CNX Nifty and the Nifty future. It also investigates how much of the volatility in one market can be explained by volatility innovations in the other market and how fast these movements transfer between these markets. It conducts Multivariate Cointegration tests on the long-run relation between these two markets. It investigates the daily price discovery process by exploring the common stochastic trend between the S&P CNX Nifty and the Nifty future based on vector error correction model (VECM). It examines the volatility spillover mechanism with a bivariate BEKK model. Finally, this study captures the effects of recent policy changes in the Indian stock market. The results reveal the following: The VECM results show that the Nifty futures dominate the cash market in price discovery. The bivariate BEKK model shows that although the persistent volatility spills over from one market to another market bi-directionally, past innovations originating in future market have the unidirectional significant effect on the present volatility of the spot market. The findings of the study thus suggest that the Nifty future is more informationally efficient than the underlying spot market. These findings may provide insights on the information transaction and index arbitrage between the CNX Nifty and futures markets.

A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures

2002 ◽  
Vol 05 (02) ◽  
pp. 277-300 ◽  
Author(s):  
Shen-Yuan Chen ◽  
Ching-Chung Lin ◽  
Pin-Huang Chou ◽  
Dar-Yeh Hwang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spot Market ◽  
Ratio Test ◽  
Variance Ratio ◽  
Index Futures ◽  
Hedging Effectiveness ◽  
Daily Data ◽  
Relationship Of ◽  
The Bayesian Approach

This article uses daily data from July 21, 1998 to July 31, 2000 to examine the hedging effectiveness, price behavior, and lead-lag relationship of SGX MSCI Taiwan index futures and TAIFEX TAIEX futures. By applying the Bayesian approach using Gibbs sampler, we find that TAIFEX index futures has a better hedging performance. A variance ratio test reveals that mean reversion and negative correlation of returns exist in SGX index futures. Only TAIFEX TAIEX futures is cointegrated with TAIEX spot. The uni-directional Granger causality between the two futures markets and spot market are from SGX to TAIEX and from TAIEX to TAIFEX. In terms of price discovery, SGX MSCI Taiwan index futures play a more important role than TAIFEX TAIEX futures.

scholarly journals Islamic spot and index futures markets: Where is the price discovery?

2018 ◽  
Vol 52 ◽  
pp. 123-133 ◽  
Author(s):  
Hande Karabiyik ◽  
Paresh Kumar Narayan ◽  
Dinh Hoang Bach Phan ◽  
Joakim Westerlund
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures

The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets

2021 ◽  
pp. 2150020
Author(s):  
Qingfeng Wilson Liu ◽  
Hui Sono ◽  
Wei Zhang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Discovery Process ◽  
Index Futures ◽  
China And India ◽  
Brics Countries ◽  
Regulatory Changes ◽  
Price Discovery Process

In this paper, we examine the price discovery patterns in the three BRICS countries’ stock index futures markets which were launched after 2000 – China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures’ price discovery functions from China’s regulatory changes in September 2015 and Russia’s economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.

Sign in / Sign up

Export Citation Format

Share Document