Price Discovery in South African Financial Markets: Investigating the Relationship Between South Africa's Stock Index Futures Market and the Underlying Market

2001 ◽  
Vol 25 (2) ◽  
pp. 1-24
Author(s):  
J Fedderke ◽  
M Joao
Keyword(s):  
Financial Markets ◽  
South African ◽  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
The Relationship

Price Clustering in the Nikkei 225 Stock Index Futures Contract on the SIMEX: An Intraday Empirical Analysis

2000 ◽  
Vol 03 (04) ◽  
pp. 519-533 ◽  
Author(s):  
Horace Chueh
Keyword(s):  
Financial Markets ◽  
Empirical Analysis ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Futures Contract ◽  
High Volatility ◽  
Price Clustering ◽  
Bid Ask Spreads

Price clustering in financial markets has been identified by previous studies. However, few studies have examined the phenomenon in the futures market. This paper presents price clustering for the Nikkei 225 stock index futures contract on the SIMEX. An extremely low percentage of odd-tick trades appears at the opening for the first trading session, while moderately low percentage occurs at the opening and the closing for the second trading session. GARCH estimation results document that the degree of price clustering increases in the periods with high volatility, bid-ask spreads, and transaction frequency. Price clustering tends to occur on the last trading day which the futures contract is to be presented. Generally, the results support the negotiation hypothesis of price clustering proposed by Harris (1991).

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.

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
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