Price Discovery of Stock Index Futures Between Chinese Cross-straits

DOI

10.2991/asshm-13.2013.125How to use a DOI?

Keywords

Price Discovery; Stock Index Futures; Vector Error Correction Model.

Abstract

This paper show that, there are bi-directional price lead relationships be-tween Hushen 300 index futures and Hushen 300 index, while index futures lead index spots in the efficiency of in-formation transmission. As for the Tai-wan 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.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Mei Duan
AU  - Ming Zheng
PY  - 2013/12
DA  - 2013/12
TI  - Price Discovery of Stock Index Futures Between Chinese Cross-straits
BT  - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
PB  - Atlantis Press
SP  - 668
EP  - 673
SN  - 1951-6851
UR  - https://doi.org/10.2991/asshm-13.2013.125
DO  - 10.2991/asshm-13.2013.125
ID  - Duan2013/12
ER  -