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Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data

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Abstract

Using high-frequency data, this study investigates price discovery in the newly established stock index (CSI300) futures market in China. Our empirical results reveal new evidence that the CSI300 index futures market play a dominant role in the price discovery process about one year after its inception and new information is disseminated more rapidly in the stock index futures market than the stock market. This is different from findings in the previous literature. Our results also imply that the index futures market has evolved and can be used as a price discovery vehicle. Thus the CSI300 stock index futures market plays an important role in the capital markets in China.

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Authors and Affiliations

  1. International Graduate School of Business, University of South Australia, Adelaide, SA, 5000, Australia

    Yang Hou

  2. Graduate School of Business and Law (GSBL), RMIT University, 379-405 Russell Street, Melbourne, VIC, 3000, Australia

    Steven Li

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  1. Yang Hou
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  2. Steven Li
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Correspondence to Steven Li.

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Hou, Y., Li, S. Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. Asia-Pac Financ Markets 20, 49–70 (2013). https://doi.org/10.1007/s10690-012-9158-8

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