Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction

DOI10.1080/14697688.2020.1814037zbMath1471.91571OpenAlexW3093274581MaRDI QIDQ4957266

Wei Zhang, Xiangtong Meng, Feng He, Xiong Xiong, Baiao Liu-Chen

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814037

zbMATH Keywords

spillover effectprice discoverystock index futuresregulation change

Mathematics Subject Classification ID

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

Cites Work

• Statistical analysis of cointegration vectors
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Information, futures prices, and stabilizing speculation
• Price discovery in Chinese stock index futures market: new evidence based on intraday data
• Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
• Are tightened trading rules always bad? Evidence from the Chinese index futures market
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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