Use VECM-Structural GARCH to Study Price Discovery, with an Application to Chinese Stock Index and Stock Index Futures Markets

2011 ◽  
Author(s):  
Guangli Lu
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets

2021 ◽  
pp. 2150020
Author(s):  
Qingfeng Wilson Liu ◽  
Hui Sono ◽  
Wei Zhang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Discovery Process ◽  
Index Futures ◽  
China And India ◽  
Brics Countries ◽  
Regulatory Changes ◽  
Price Discovery Process

In this paper, we examine the price discovery patterns in the three BRICS countries’ stock index futures markets which were launched after 2000 – China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures’ price discovery functions from China’s regulatory changes in September 2015 and Russia’s economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.

Cojumps in China's spot and stock index futures markets

2015 ◽  
Vol 35 ◽  
pp. 541-557 ◽  
Author(s):  
Hao Wang ◽  
Mengqi Yue ◽  
Hua Zhao
Keyword(s):  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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