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A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes between the China Financial Futures Exchange and the S

Id：2180 Date：20131014 Status：published ClickTimes：
作者Biao Guo, Qian Han, Maonan Liu, Doojin Ryu
正文This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we find that China’s CSI 300 index futures dominate Singapore’s A50 index futures in both intraday price discovery and intraday volatility transmission processes. However, A50 futures contracts also make a substantial contribution (26%-37%) in the price discovery process. These results have important implications for both traders and policymakers.
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关键词：Price Discovery, Volatility Transmission, Futures Market, CSI 300, A50, Information Share.
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