Asia-Pacific Financial Markets

, Volume 20, Issue 1, pp 49–70 | Cite as

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

  • Yang Hou
  • Steven LiEmail author


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.


CSI300 index futures market Price discovery Granger causality Common factor measure VECM 


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Copyright information

© Springer Science+Business Media, LLC. 2012

Authors and Affiliations

  1. 1.International Graduate School of BusinessUniversity of South AustraliaAdelaideAustralia
  2. 2.Graduate School of Business and Law (GSBL)RMIT UniversityMelbourneAustralia

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