Price discovery in Indian stock index futures market: new evidence based on intraday data

2017 ◽  
Vol 14 (1) ◽  
pp. 23 ◽  
Author(s):  
Sarveshwar Kumar Inani
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Evidence Based ◽  
Index Futures ◽  
Intraday Data ◽  
New Evidence

Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Conghua Wen ◽  
Fei Jia ◽  
Jianli Hao
Keyword(s):  
High Frequency ◽  
Realized Volatility ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Behavior ◽  
Volatility Forecasting ◽  
Content Type ◽  
Index Futures ◽  
Intraday Data

PurposeUsing intraday data, the authors explore the forecast ability of one high frequency order flow imbalance measure (OI) based on the volume-synchronized probability of informed trading metric (VPIN) for predicting the realized volatility of the index futures on the China Securities Index 300 (CSI 300).Design/methodology/approachThe authors employ the heterogeneous autoregressive model for realized volatility (HAR-RV) and compare the forecast ability of models with and without the predictive variable, OI.FindingsThe empirical results demonstrate that the augmented HAR model incorporating OI (HARX-RV) can generate more precise forecasts, which implies that the order imbalance measure contains substantial information for describing the volatility dynamics.Originality/valueThe study sheds light on the relation between high frequency trading behavior and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility.

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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