Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China

Abstract

sharp decline immediately after the stock index futures were introduced, the cash market is found to play a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets.

Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect

“…Table 1 [35], the issuance of stock index futures contracts has a great impact on the volatility of the stock index. Therefore, we collect the daily closing prices of the short-term maturity of CSI 300 stock index futures contracts (one-month) of the same period to incorporate its effect into our models in the latter analyses.…”

“…Following a similar technique as in Yang et al [35], we use f t as the control variable; hence, θ controls for the effect of the stock index futures ( f t ). 5 Furthermore, to examine the structural changes in volatility for different policy stages, we divide our sample into several subsamples according to the market development and policy initiation.…”

On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts

“…The above models require various parameters that we have introduced in Equations (1) through (5). Generic parameter settings for all Monte Carlo variants with respect to the cointegration residuals are discussed below.…”

“…In recent years, interest has surged in identifying cointegration relationships in high-frequency financial market data (see, among others, [1][2][3][4][5]). However, it remains unclear whether standard cointegration tests are truly robust against the specifics of high-frequency settings.…”

Price discovery and risk transfer in the Brent crude oil futures market

“…Price discovery is the use of futures market price to determine the expected spot price (Working, 1948;Schroeder and Goodwin, 1991;Yang et al, 2010) while risk transfer is the use of futures contract by hedgers to transfer price risk to the spot market. These issues are of great importance because the high fluctuations of oil prices in recent years has led to tremendous uncertainties for oil price forecasting, oil resource investment and oil market trading (Zhang and Wang, 2013).…”