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2013•Advances in intelligent systems research/Advances in Intelligent Systems ResearchOpen access

Price Discovery of Stock Index Futures Between Chinese Cross-straits

Duan Mei, Zheng Ming

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Abstract

This paper show that, there are bidirectional price lead relationships between Hushen 300 index futures and Hushen 300 index, while index futures lead index spots in the efficiency of information transmission.As for the Taiwan market, unidirectional price lead from index futures to index spots market is found.In the long term, futures markets play dominant role in price discovery, while Taiwan weighted stock index futures is comparatively stronger.

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What this paper is about

This paper show that, there are bidirectional price lead relationships between Hushen 300 index futures and Hushen 300 index, while index futures lead index spots in the efficiency of information transmission.As for the Taiwan market, unidirectional price lead from index futures to index spots market is found.In the long term, futures markets play dominant role in price discovery, while Taiwan weighted stock index futures is comparatively stronger.

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Available abstract

This paper show that, there are bidirectional price lead relationships between Hushen 300 index futures and Hushen 300 index, while index futures lead index spots in the efficiency of information transmission.As for the Taiwan market, unidirectional price lead from index futures to index spots market is found.In the long term, futures markets play dominant role in price discovery, while Taiwan weighted stock index futures is comparatively stronger.

Key concepts: Futures contract, Price discovery, Index (typography), Stock index futures, Financial economics, Stock market index, Futures market, Forward market

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