Information transmission between futures and spot markets of the stock index in the abnormal market

DOI10.13383/J.CNKI.JSE.2017.05.006zbMATH Open1399.91122MaRDI QIDQ3175668FDOQ3175668

Authors: Shuang Wang, Jun Song 

Publication date: 18 July 2018

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zbMATH Keywords

vector error correction modelimpulse response functionCSI 300 indexCSI 300 index futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (13)

• Are tightened trading rules always bad? Evidence from the Chinese index futures market
• Tail risk aversion and backwardation of index futures
• The mutual causality analysis between the stock and futures markets
• Did crisis alter trading of two major oil futures markets?
• Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
• Financial markets trends and studies of Singapore futures markets
• Research on the relationship between CSI 300 stock index futures and its underlying stock index
• Speed of price adjustment in Indian stock market: a paradox
• Information Transmission Across Eurodollar Futures Markets
• Causality test of time-varying information spillover in HS300 stock index futures-spot market -- based on DCC-GARCH-Hong method and LRSM breakpoint test
• Stock crashes and jumps reactions to information demand and supply: an intraday analysis
• Analysis of the relationship between the volatility of stock index futures and spot based on long memory model
• Stock futures of a flawed market index

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