Efficient Price Discovery in Stock Index Cash and Futures Markets

2000 ◽  
pp. 177 ◽  
Author(s):  
Alphonse
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Efficient Price

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.

A Study on the Price Discovery in Korea Stock Index Markets: KODEX200, KOSPI200, and KOSPI200 Futures

2009 ◽  
Vol 17 (3) ◽  
pp. 67-97
Author(s):  
Seok-Kyu Kang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Multivariate Garch ◽  
Stock Index ◽  
Reverse Direction ◽  
Discovery Process ◽  
Vector Error Correction ◽  
Price Series ◽  
Auto Regressive ◽  
Price Discovery Process

This paper examines the price discovery process among the Korea stock index markets using the vector error correction model (VECM) and the multivariate generalized auto regressive conditional heteroskedasticity (M-GARCH) model. The minute-by-minute price series of the KOSPI200 index, KOSPI200 futures, and KODEX200 are cointegrated. The empirical results are summarized as follows: First, VECM estimation results indicate that when the cointegrating relationship is perturbed by the arrival of ntis, the KODEX200(ETF) does not adjusted to restore equilibrium. This is the task of the KOSPI200 futures and spot. These two index securities use the KODEX200 to represent the ntioequilibrium price, with the KOSPI200 futures responding faster than the KOSPI200 spot. When the cointegrating relationship betweeiesOSPI200 spot and futues is perturbed by the arrival of ntis, the KOSPI200 spot does adjusted to restore equilibrium. Next, the results from the multivariate GARCH modes indicate that the volatilities of esOSPI200 spot and futures markets suggest unidirectiona1volatility spillover from KOSPI200 futures to KOSPI200 spot. KODEX200(ETF) volatilities spill over bothesOSPI200 spot and futures markets. and this happen in the reverse direction with a strong effect from the KODEX200 to KOSP200 futures and spot. The overall findings indicate that the KODEX200(ETF) market dominates KOSPI200 futures and spot in the price discovery process. The regulation of Instutional traders on trading on futures markets explains its superior price discovery function.

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.

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.

Efficient Price Discovery in the Bitcoin Markets

2020 ◽  
Author(s):  
Alexander Chang ◽  
William Herrmann ◽  
Wlliam Cai
Keyword(s):  
Price Discovery ◽  
Efficient Price
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