Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management

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.
Download article (PDF)