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Emerging Markets Finance and Trade Volume 55, 2019 - Issue 13
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Symposium on Chinese Derivatives Markets, Guest editors: Ke Tang, Tsinghua University, and Ali M. Kutan, Southern Illinois University Edwardsville

Price Discovery in the Chinese Stock Index Futures Market

Jing HaoCollege of Management and Economics, Tianjin University, Tianjin, P.R. ChinaView further author information
,
Xiong XiongCollege of Management and Economics, Tianjin University, Tianjin, P.R. ChinaView further author information
,
Feng HeSchool of Finance, Tianjin University of Finance and Economics, Tianjin, P.R. ChinaCorrespondence[email protected]
View further author information
&
Feng MaSchool of Economics and Management, Southwest Jiaotong University, Chengdu, P.R. ChinaView further author information
Pages 2982-2996 | Published online: 25 Apr 2019

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Feng He, Baiao Liu-Chen, Xiangtong Meng, Xiong Xiong & Wei Zhang. (2020) Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction. Quantitative Finance 20:12, pages 2067-2083.
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Articles from other publishers (10)

Ming Fang, Chiu-Lan Chang & Qi Zhang. (2023) Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futures. Economic Analysis and Policy 79, pages 184-204.
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Sivakumar Sundararajan & Senthil Arasu Balasubramanian. (2023) Intraday price discovery and volatility transmission between the dual-listed stock index futures and spot markets – new evidence from India. International Journal of Emerging Markets.
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Liwei Jin, Xianghui Yuan, Li Peiran, Hailun Xu & Feng Lian. (2022) Option features and price discovery in convertible bonds. Journal of Futures Markets 43:3, pages 384-403.
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Bing Anderson. (2023) A tick-by-tick level measurement of the lead-lag duration between cryptocurrencies: The case of Bitcoin versus Cardano. Investment Management and Financial Innovations 20:1, pages 174-183.
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Yuetian Jin, Youyi Wu, Ping Yu & Jiarui Zhang. (2023) Effect of Futures Trading Restrictions on Market Efficiency: A Multifractal Analysis. Fluctuation and Noise Letters 22:01.
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Mohammed Arshad Khan, Md. Mobashshir Hussain, Asif Pervez, Mohd Atif, Rohit Bansal & Hamad A. Alhumoudi. (2022) Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19. Journal of Mathematics 2022, pages 1-9.
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Liwei Jin, Xianghui Yuan, Jun Long, Xiang Li & Feng Lian. (2022) Price discovery in the CSI 300 Index derivatives markets. Journal of Futures Markets 42:7, pages 1352-1368.
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Chao Xing, Yuming Zhang & David Tripe. (2021) Green credit policy and corporate access to bank loans in China: The role of environmental disclosure and green innovation. International Review of Financial Analysis 77, pages 101838.
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Jing Hao, Feng He, Baiao Liu-Chen & Zihe Li. (2021) Price discovery and its determinants for the Chinese soybean options and futures markets. Finance Research Letters 40, pages 101689.
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xiaotao zhang, Yuepeng Zhao, Jing HAO & Feng He. (2022) Do Loosened Trading Rules Restore the Stock Index Futures Price Discovery Ability in China?. SSRN Electronic Journal.
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