所属栏目:资本市场/衍生证券

The Evolving Patterns of the Price Discovery Process: Evidence from the Stock Index Futures Markets of China, India and Russia
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发布日期:2022年07月10日 上次修订日期:2022年07月10日

摘要

This study examines the price discovery patterns in the three BRICS countries’ stock index futures markets that were launched after 2000 – China, India, and Russia. We detect two structural breaks in these three futures price series and their underlying spot price series, and use them to form subsamples. Employing a Vector Error Correction Model (VECM) and the Hasbrouck (1995) test, we find the price discovery function of stock index futures markets generally improves over time in China and India, but declines in Russia. A closer examination not only confirms the findings of Yang et al. (2012) and Hou and Li (2013) regarding price discovery in China’s stock index markets, but also reveals the inconsistency of futures’ leading role in the price discovery process. Further, we find some evidence of day-of-the-week effects in earlier part of the sample in China, but not in India or Russia. And our GARCH model results show bidirectional volatility spillover between futures and spot in China and India, but only unidirectional in Russia.
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Qingfeng Liu; Qingzhong Ma; Hui Sono The Evolving Patterns of the Price Discovery Process: Evidence from the Stock Index Futures Markets of China, India and Russia (2022年07月10日) http://www.cfrn.com.cn/lw/14563.html

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