The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 DOI:10.1142/s021909152150020x

Q. Liu, Hui Sono, Wei Zhang

引用次数: 0

Abstract

In this paper, we examine the price discovery patterns in the three BRICS countries’ stock index futures markets which were launched after 2000 – China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures’ price discovery functions from China’s regulatory changes in September 2015 and Russia’s economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.

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中国、印度和俄罗斯股指期货市场的价格发现过程

在本文中，我们研究了2000年后推出的三个金砖国家股票指数期货市场的价格发现模式-中国，印度和俄罗斯。我们发现，期货市场在中国和印度的价格发现过程中占据主导地位，但在俄罗斯则不那么重要。进一步的研究揭示了价格发现过程的动态性，以及2015年9月中国的监管变化和2014年3月俄罗斯的经济制裁对期货价格发现功能的重大影响。结果还显示，中国和印度的期货和现货之间的波动性溢出比俄罗斯更为平衡和双向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.