Price Discovery Function of Index Futures in China: Evidence from Daily Closing Prices
- SHIQING XIE
- JIAJUN HUANG
Publication date
January 2013
DOI Publisher
Economic and Political Studies ISSN
2095-4816 Journal
2095-4816 Citation count (estimate)
2Abstract
Price discovery is one of the main functions of stock index futures.Using the daily closing prices of the CSI 300 index and its index futures from April 2010 to April 2012,this paper applies a vector error correction model(VECM)and an impulse response function to conduct an empirical analysis on the...0240-5
Add to ORKG