2012•Unpublished venueRequires access
Intraday Information Structure of Chinese Stock Index Futures and Stock Spot Markets: Based on Trading and Non-trading Periods
Renhai Hua
Open publisher page 0 citations
Abstract
This paper investigates intraday information transmission paths,directions,and degrees between trading and non-trading information of HS300 index futures and HS300 index markets based on trading and non-trading periods in order to seek intraday information structure of Chinese stock index futures and stock spot markets.The empirical results show that there are no divinable relations between a.m.trading and p.m.trading except for p.m.trading information in spot market,whereas there are certain extent forecasts in price difference correction terms.There exist forecasting abilities from overnight information of spot market to a.m.trading of futures market,from noon information of spot market to p.m.trading of futures market,and from overnight information of futures market to a.m.trading of spot market,but the noon information of futures market fails to forecast the p.m.trading of spot market.And the impacts of overnight information on intraday trading are stronger than the noon information's.There are prominent forecasting abilities in both returns and volatility from pre-opening trading of futures market to intraday trading of spot market and from post-closing trading of futures market to overnight of spot market respectively.Correspondingly,the effect from post-closing trading to overnight is larger than that from pre-opening trading to intraday trading.