Empirical Economics

, Volume 54, Issue 3, pp 1267–1295 | Cite as

Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis

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Abstract

This study investigates linear and nonlinear price information flows between the Chinese Stock Index 300 (CSI300) and futures market using high-frequency data and their wavelet transformed series for three regimes for which stock short-selling restrictions in China are different. Empirical results generally indicate information feedback between these two markets regardless of assumptions of linear and nonlinear causality and regimes for original series and wavelet transformed data at different scales.

Keywords

CSI300 Spot Futures Information flow Causality Wavelet method 

JEL Classification

C32 G13 G14 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  1. 1.Department of EconomicsNorth Carolina State UniversityRaleighUSA

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