The Post-Internationalization Evolution of the Price Discovery Pattern in China’s Iron Ore Markets

References

• Bae, K., Chan, K., & Ng, A. (2004). Investability and return volatility. Journal of Financial Economics, 71(2), 239–263. https://doi.org/10.1016/S0304-405X(03)00166-1
   Web of Science ®Google Scholar
• Baillie, R. T., Booth, G. G., Tse, Y., & Zabotina, T. (2002). Price discovery and common factor models. Journal of Financial Markets, 5(3), 309–321. https://doi.org/10.1016/S1386-4181(02)00027-7
   Web of Science ®Google Scholar
• Bohl, M. T., Salm, C. A., & Schuppli, M. (2011). Price discovery and investor structure in stock index futures. Journal of Futures Markets, 31(3), 282–306. https://doi.org/10.1002/fut.20469
   Web of Science ®Google Scholar
• Chan, K. (1992). A further analysis of the lead–lag relationship between the cash market and stock index futures market. Review of Financial Studies, 5(1), 123–152. https://doi.org/10.1093/rfs/5.1.123
   Web of Science ®Google Scholar
• Chen, Z., Du, J., Li, D., & Ouyang, R. (2013). Does foreign institutional ownership increase return volatility? Evidence from China. Journal of Banking and Finance, 37(2), 660–669. https://doi.org/10.1016/j.jbankfin.2012.10.006
   Web of Science ®Google Scholar
• Chien, M. (2010). Structural breaks and the convergence of regional house prices. The Journal of Real Estate Finance and Economics, 40(1), 77–88. https://doi.org/10.1007/s11146-008-9138-y
   Web of Science ®Google Scholar
• Ding, M., Nilsson, B., & Suardi, S. (2017). Foreign institutional investment, ownership, and liquidity: Real and informational frictions. Financial Review, 52(1), 101–144. https://doi.org/10.1111/fire.12126
   Web of Science ®Google Scholar
• Fan, J. H., Fernandez-Perez, A., Indriawan, I., & Todorova, N. (2020). Internationalization of futures markets: Lessons from China. Pacific-Basin Finance Journal, 63, 101429. https://doi.org/10.1016/j.pacfin.2020.101429
   Web of Science ®Google Scholar
• Fung, H., Liu, Q., & Tse, Y. (2010). The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets. Journal of Futures Markets, 30(12), 1192–1209. https://doi.org/10.1002/fut.20474
   Web of Science ®Google Scholar
• Ghosh, A. (1993). Cointegration and error correction models: Intertemporal causality between index and futures prices. Journal of Futures Markets, 13(2), 193–198. https://doi.org/10.1002/fut.3990130206
   Web of Science ®Google Scholar
• Gomes, F. A., & Silva, G. C. (2010). Hysteresis versus NAIRU and convergence versus divergence: The behaviour of regional unemployment rate in Brazil. Quarterly Review of Economics and Finance, 49(2), 308–322. https://doi.org/10.1016/j.qref.2007.03.009
   Google Scholar
• Granger, C. W. J., & Hyung, N. (2004). Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance, 11(3), 399–421. https://doi.org/10.1016/j.jempfin.2003.03.001
   Google Scholar
• Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175–1199. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x
   Web of Science ®Google Scholar
• He, H., Liu, Q., & Zhang, Y. (2012). The evolving pattern of price discovery: Evidence from China’s gold and copper markets. Review of Futures Markets, 20(4), 395–417.
   Google Scholar
• He, W., & Shen, J. (2014). Do foreign investors improve informational efficiency of stock prices? Evidence from Japan. Pacific-Basin Finance Journal, 27, 32–48. https://doi.org/10.1016/j.pacfin.2014.01.005
   Web of Science ®Google Scholar
• Hou, Y., & Li, S. (2013). Price discovery in Chinese stock index futures market: New evidence based on intraday data. Asia-Pacific Financial Markets, 20(1), 49–70. https://doi.org/10.1007/s10690-012-9158-8
   Google Scholar
• Iihara, Y., Kato, K., & Tokunaga, T. (1996). Intraday return dynamics between the cash and futures markets in Japan. Journal of Futures Markets, 16(2), 147–162. https://doi.org/10.1002/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K
   Web of Science ®Google Scholar
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economics Dynamics and Control, 12, 27–35.
   Web of Science ®Google Scholar
• Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. https://doi.org/10.2307/2938278
   Web of Science ®Google Scholar
• Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration – with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
   Web of Science ®Google Scholar
• Kavussanos, M. G., Visvikis, I. D., & Alexakis, P. D. (2008). The lead-lag relationship between cash and stock index futures in a new market. European Financial Management, 14(5), 1007–1025. https://doi.org/10.1111/j.1468-036X.2007.00412.x
   Web of Science ®Google Scholar
• Kawaller, I. G., Koch, P. D., & Koch, T. W. (1987). The temporal price relationship between S&P 500 futures and the S&P 500 index. The Journal of Finance, 42(5), 1309–1329. https://doi.org/10.2307/2328529
   Web of Science ®Google Scholar
• Kolb, R. W. (2003). Futures, options, and swaps. Wiley-Blackwell.
   Google Scholar
• Koutmos, G., & Tucker, M. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. Journal of Futures Markets, 16(1), 55–69. https://doi.org/10.1002/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G
   Web of Science ®Google Scholar
• Lee, K., Fung, H., & Liao, T. (2009). Day-of-the-week effects in the U.S. and Chinese commodity futures. Review of Futures Markets, 18(1).
   Google Scholar
• Lee, J., & Chung, K. (2018). Foreign ownership and stock market liquidity. International Review of Economics and Finance, 54, 311–325. https://doi.org/10.1016/j.iref.2017.10.007
   Web of Science ®Google Scholar
• Lee, J., & Strazicich, M. C. (2001). Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), 535–558. https://doi.org/10.1111/1468-0084.00234
   Web of Science ®Google Scholar
• Lee, J., & Strazicich, M. C. (2003). Minimum LM Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082–1089. https://doi.org/10.1162/003465303772815961
   Web of Science ®Google Scholar
• Leuz, C., Lins, K. V., & Warnock, F. (2008). Do foreigners invest less in poorly governed firms? Review of Financial Studies, 22(8), 3245–3285. https://doi.org/10.1093/rfs/hhn089
   Web of Science ®Google Scholar
• Lien, D., & Shrestha, K. (2009). A new information share measure. Journal of Futures Markets, 29(4), 377–395. https://doi.org/10.1002/fut.20356
   Web of Science ®Google Scholar
• Liu, Q., Sono, H., & Zhang, W. (2021). The price discovery processes in China, India, and Russia’s stock index futures markets. Review of Pacific Basin Financial Markets and Policies, 24(03), 2150020. https://doi.org/10.1142/S021909152150020X
   Web of Science ®Google Scholar
• Lumsdaine, R., & Papell, D. (1997). Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), 212–218. https://doi.org/10.1162/003465397556791
   Web of Science ®Google Scholar
• Ng, L., Wu, F., Yu, J., & Zhang, B. (2015). Foreign investor heterogeneity and stock liquidity around the world. Review of Finance, 20(5), 1867–1910. https://doi.org/10.1093/rof/rfv048
   Web of Science ®Google Scholar
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. https://doi.org/10.2307/1913712
   Web of Science ®Google Scholar
• Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355–385. https://doi.org/10.1016/S0304-4076(97)00049-3
   Web of Science ®Google Scholar
• Pizzi, M. A., Economopoulos, A. J., & O’Neill, H. M. (1998). An examination of the relationship between stock index cash and futures markets: A cointegration approach. Journal of Futures Markets, 18(3), 297–305. https://doi.org/10.1002/(SICI)1096-9934(199805)18:3<297::AID-FUT4>3.0.CO;2-3
   Web of Science ®Google Scholar
• Reimers, H. E. (1992). Comparisons of tests for multivariate cointegration. Statistical Papers, 33(1), 335–359. https://doi.org/10.1007/BF02925336
   Google Scholar
• Stiglitz, J. (1999). Reforming the global economic architecture: Lessons from recent crises. The Journal of Finance, 54(4), 1508–1521. https://doi.org/10.1111/0022-1082.00154
   Web of Science ®Google Scholar
• Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. The Journal of Financial and Quantitative Analysis, 25(4), 441–468. https://doi.org/10.2307/2331010
   Web of Science ®Google Scholar
• Tan, S. (2021). Iron ore prices falling as China’s restrictions on steel production continue to bite and economic growth slows. South China Morning Post news article dated August 18, 2021.
   Google Scholar
• Tse, Y. (1999). Price discovery and volatility spillovers in the DJIA index and futures markets. Journal of Futures Markets, 19(8), 911–930. https://doi.org/10.1002/(SICI)1096-9934(199912)19:8<911::AID-FUT4>3.0.CO;2-Q
   Web of Science ®Google Scholar
• Vithessonthi, C., & Racela, O. (2016). Short- and long-run effects of internationalization and R&D intensity on firm performance. Journal of Multinational Financial Management, 34, 28–45. https://doi.org/10.1016/j.mulfin.2015.12.001
   Web of Science ®Google Scholar
• Wahab, M., & Lashgari, M. (1993). Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. Journal of Futures Markets, 13(7), 711–742. https://doi.org/10.1002/fut.3990130702
   Web of Science ®Google Scholar
• Yang, J., Bessler, D. A., & Leatham, D. J. (2001). Asset storability and price discovery of commodity futures markets: A new look. Journal of Futures Markets, 21(3), 279–300. https://doi.org/10.1002/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L
   Web of Science ®Google Scholar
• Yang, X., Lu, C., & Yang, Z. (2022). Capital-Market Liberalization and Controlling Shareholders’ Tunneling—Experimental Research in the Context of “Mainland China-Hong Kong Stock Connect”. Applied Economics, 54(45), 5241–5256. https://doi.org/10.1080/00036846.2022.2041183
   Web of Science ®Google Scholar
• Yang, J., Yang, Z., & Zhou, Y. (2012). Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. Journal of Futures Markets, 32(2), 99–121. https://doi.org/10.1002/fut.20514
   Web of Science ®Google Scholar
• Zivot, E., & Andrews, W. D. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. https://doi.org/10.1080/07350015.1992.10509904
   Web of Science ®Google Scholar