2010•Journal of Liaoning Technical UniversityRequires access

Empirical analysis of the price discovery function of the Hangseng index futures market

Wu Min

Abstract

To analyze the function of the Hangseng index futures market,VAR model is used to check the relationship between futures and spot.The results show that the price discovering function during the sub-loan is significant,which is different from the one before the sub-loan.The performance of the Hangseng index futures market may be useful for the development of Chinese A-stock index futures.

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