Han, Q. and Zhao, C. and Chen, J. and Guo, Christine (2025) Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. Emerging Markets Review 67 (101307), ISSN 1566-0141.
![[img]](https://eprints.bbk.ac.uk/style/images/fileicons/text.png) |
Text
55040.pdf - Author's Accepted Manuscript Restricted to Repository staff only Available under License Creative Commons Attribution. Download (1MB) |
|
Text
55040a.pdf - Published Version of Record Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (3MB) |
Abstract
Uniquely addressing asynchronous informational update between index and futures, we find that reduction in data frequency depicts a dual effect of “noise reduction” and “speed reduction” on Hasbrouck’s (1995) information share (IS) and Gonzalo-Granger’s (1995) component share (CS) indicators. Furthermore, the “noise reduction” effect does not exist significantly on CS, thereby preventing Putniņš’s (2013) information leading share (ILS) indicator from eliminating noise under low-frequency data. Our novel leading time (LT) indicator suggests that the Shanghai-Shenzhen Stock Exchange 300 (CSI 300) and China Stock Exchange 500 (CSI 500) futures dominate price discovery. An asynchronous informational update overestimates the price discovery ability of futures.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Price Discovery, Frequency of Market Update, Chinese Stock Index Futures, Lead-Lag Relationship, Microstructure Noise |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 21 Feb 2025 13:58 |
| Last Modified: | 23 Sep 2025 09:22 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/55040 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
