The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China

2015 ◽  
Vol 15 ◽  
pp. 221-231 ◽  
Author(s):  
Feng Xu ◽  
Difang Wan
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Individual Investors ◽  
Index Futures

Price Discovery in the Chinese Stock Index Futures Market

2019 ◽  
Vol 55 (13) ◽  
pp. 2982-2996 ◽  
Author(s):  
Jing Hao ◽  
Xiong Xiong ◽  
Feng He ◽  
Feng Ma
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
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