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.
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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 |
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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: | 02 Sep 2025 17:01 |
URI: | https://eprints.bbk.ac.uk/id/eprint/55040 |
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