The lead–lag relationship between Chinese mainland and Hong Kong stock markets

Yuan, Xianghui; Jin, Liwei; Lian, Feng

doi:10.1016/j.physa.2021.125999

Cited by 8 publications

(6 citation statements)

References 24 publications

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“…The lead–lag results calculated under different

T

values are all positive and do not change the order of different contracts, indicating that the lead–lag results obtained in the previous experiment are stable. In addition, previous literature (Wang et al, 2017; Yuan et al, 2021) also showed that the results when

T

was 2 were reliable and stable, and this result has passed our consistency test as well.…”

Section: Resultssupporting

confidence: 74%

“…CSI, China Securities Index; ITM, in-themoney; TOP, thermal optimal path the lead-lag results obtained in the previous experiment are stable. In addition, previous literature (Wang et al, 2017;Yuan et al, 2021) also showed that the results when T was 2 were reliable and stable, and this result has passed our consistency test as well.…”

Section: Consistency Verificationsupporting

confidence: 75%

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Price discovery in the CSI 300 Index derivatives markets

Jin

Yuan

Long

et al. 2022

Journal of Futures Markets

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The price discovery in finance markets has been the focus of many researches. On the basis of 1‐min high‐frequency returns, this paper sets out to examine the dynamics of price discovery between the China Securities Index 300 index and its derivative products: the futures, the index exchange‐traded fund (ETF), and the ETF options. Nonparametric nonlinear method thermal optimal path method is adopted in this study. The empirical evidence shows a clear difference in price discovery ability concerning the three products under investigation, and their rank (sorted by strength) can be presented as options, futures, and ETF. In addition, the leading phenomenon has been verified by the regression method. Furthermore, we find that out‐of‐the‐money options have the strongest price discovery ability among different moneyness option contracts. On this basis, we find that leverage is an important factor affecting the ability of price discovery.

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“…The lead–lag results calculated under different

T

T

was 2 were reliable and stable, and this result has passed our consistency test as well.…”

Section: Resultssupporting

confidence: 74%

Section: Consistency Verificationsupporting

confidence: 75%

Price discovery in the CSI 300 Index derivatives markets

Jin

Yuan

Long

et al. 2022

Journal of Futures Markets

Self Cite

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“…Since there exists significant risk spillovers between the Chinese mainland and Hong Kong markets due to the stock connect programs of Shanghai-Hong Kong and Shenzhen-Hong Kong (Chen et al., 2021 ), we select it as a representative market and compare the intraday lead–lag relations between theses two markets. As one of the biggest global mature markets, other markets are both influenced by the US market (Ren et al., 2019 ; Yuan & Jin, 2021 ; Jin & Guo, 2021 ; Li & Chen, 2021 ). Therefore we choose it as a representative of the global mature markets.…”

Section: Data and Resultsmentioning

confidence: 99%

A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options

Ren

Cai

et al. 2022

Comput Econ

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Using 1-min data, we explore the dynamic variation of the intraday lead–lag relations between stock indices and their derivatives through a comprehensive study with broader coverage of research objectives and methodologies. This paper provides explicit evidence that the futures and options exhibit price leadership over the spot market, and the options is ahead of the futures on most trading days in all three markets. This paper also reports a new finding that the relation between the derivative and its underlying index reverses when the index return has a significantly larger mean value, and the reversal phenomenon is also observed in the relations between the futures and the options, which enriches the empirical results of intraday lead–lag relations. Moreover, these conclusions still hold under the impact of extreme events, e.g., the outbreak of the Covid-19. Finally, we construct a pair trading strategy based on the intraday lead–lag relationships, which can get better performance than the corresponding spot index. Our findings can potentially help regulators understand the price discovery process between the index and its derivatives, and also be of great value for timely adjustment of investors intraday trading strategies.

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“…

X(t)

and

Y(t)

will exhibit a strong linear dependence between them, which forms the basis of the consistency test, represented by the following regression:

Y(t)=c+aX(t-\langle x(t)\rangle )+\varepsilon (t),

where the coefficient

a

should be significantly different from 0 for a statically significant dependence. It is noteworthy that the method has been widely used in robustness testing for the TOP method (Meng et al, 2017; Xu et al, 2017; Yuan et al, 2021).…”

Section: Methodology and Datamentioning

confidence: 99%

“…where the coefficient a should be significantly different from 0 for a statically significant dependence. It is noteworthy that the method has been widely used in robustness testing for the TOP method (Meng et al, 2017;Xu et al, 2017;Yuan et al, 2021).…”

Section: Consistency Testmentioning

confidence: 99%

Option features and price discovery in convertible bonds

Jin

Yuan

et al. 2022

Journal of Futures Markets

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In this paper, we investigate whether the option features in convertible bonds lead to price discovery. On the basis of minute-level data from January 2019 to December 2021, we find that the convertible bond market contributes to the price discovery of the stock market by using the thermal optimal path method, and that the option features in convertible bonds are an important factor affecting the price discovery ability. Regression analysis shows that the effect of option features remains significant after controlling for a range of variables, such as the size of the convertible bond, the premium rate, information shock, and volatility. In addition, we further explore the impact of the difference in trading regimes between the convertible bond market and the equity market on price discovery.

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The lead–lag relationship between Chinese mainland and Hong Kong stock markets

Cited by 8 publications

References 24 publications

Price discovery in the CSI 300 Index derivatives markets

Price discovery in the CSI 300 Index derivatives markets

A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options

Option features and price discovery in convertible bonds

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