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

DOI10.13383/J.CNKI.JSE.2017.05.006MaRDI QIDQ3175668zbMATH OpenFDO

Authors Shuang Wang, Jun Song

Publication date 18 July 2018

zbMATH Keywords

vector error correction modelimpulse response functionCSI 300 indexCSI 300 index futures

Mathematics Subject Classification ID

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

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(13)

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• Are tightened trading rules always bad? Evidence from the Chinese index futures market
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• The mutual causality analysis between the stock and futures markets
• Did crisis alter trading of two major oil futures markets?
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• 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
• Stock crashes and jumps reactions to information demand and supply: an intraday analysis
• Causality test of time-varying information spillover in HS300 stock index futures-spot market -- based on DCC-GARCH-Hong method and LRSM breakpoint test
• Analysis of the relationship between the volatility of stock index futures and spot based on long memory model

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