Title :
Price discovery in index futures and spot market in China: Based on HS300 stock index futures
Author :
Jinyu, Zhu ; Jiewen, Diao
Author_Institution :
Bus. Sch., USST, Shanghai, China
Abstract :
This paper adopts the cointegration test, Granger causality analysis, VECM and impulse response analysis to investigate the causal relationship between HS300 index futures market and spot market based on the data of the markets. The result shows that there is a one-way causal relationship between the two markets, the price discovery primarily originates from futures markets and the futures market adjusts to the equilibrium faster than spot market.
Keywords :
commodity trading; pricing; public finance; transient response; China; Granger causality analysis; HS300 stock index futures; VECM; cointegration test; impulse response analysis; one-way causal relationship; price discovery; spot market; Business; Error correction; Estimation; Indexes; Lead; Mathematical model; Stock markets; HS300; VECM; price discovery; stock index futures;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5914877
