Price Discovery of Stock Index Futures Between Chinese Cross-straits
- Mei Duan, Ming Zheng
- Corresponding author
- Price Discovery; Stock Index Futures; Vector Error Correction Model.
- This paper show that, there are bi-directional price lead relationships be-tween Hushen 300 index futures and Hushen 300 index, while index futures lead index spots in the efficiency of in-formation transmission. As for the Tai-wan market, unidirectional price lead from index futures to index spots market is found. In the long term, futures markets play dominant role in price discovery, while Taiwan weighted stock index futures is comparatively stronger.
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