scholarly journals The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test

Entropy ◽  
2021 ◽  
Vol 23 (9) ◽  
pp. 1172
Author(s):  
Xunfa Lu ◽  
Kai Liu ◽  
Kin Keung Lai ◽  
Hairong Cui
Keyword(s):  
Crude Oil ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Oil Futures ◽  
Index Futures ◽  
Price Series ◽  
Crude Oil Futures ◽  
The Mean ◽  
The Relationship

Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.

scholarly journals The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Alex Frino
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Stock Index Futures ◽  
Contagion Effect ◽  
Index Futures ◽  
Empirical Results ◽  
Open Session ◽  
The Impact ◽  
Closure Theory

This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning.  

Sign in / Sign up

Export Citation Format

Share Document