Price discovery in index futures and spot market in China: Based on HS300 stock index futures

BMEI 2011 - Proceedings 2011 International Conference on Business Management and Electronic Information

Volumn 5, Issue , 2011, Pages 424-427

  Zhu, Jinyu ^a   Diao, Jiewen ^a  

^a UNIVERSITY OF SHANGHAI FOR SCIENCE AND TECHNOLOGY   (China)

Author keywords

HS300; price discovery; stock index futures; VECM

Indexed keywords

CAUSAL RELATIONSHIPS; COINTEGRATION TEST; FUTURES MARKET; GRANGER CAUSALITY; HS300; IMPULSE RESPONSE ANALYSIS; INDEX FUTURES; PRICE DISCOVERY; SPOT MARKET; STOCK INDEX FUTURES; VECM;

IMPULSE RESPONSE; INFORMATION MANAGEMENT;

COMMERCE;

EID: 80052140886     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICBMEI.2011.5914877     Document Type: Conference Paper

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