异步市场更新是否重要？中国股指期货价格发现的再审视

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-05-13 DOI:10.1016/j.ememar.2025.101307

Qian Han , Chengzhi Zhao , Jing Chen , Qian Guo

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引用次数: 0

摘要

我们发现数据频率的降低对Hasbrouck（1995）的信息共享（IS）和Gonzalo-Granger（1995）的成分共享（CS）指标具有“降噪”和“降速”的双重影响，这是唯一解决指数和期货之间异步信息更新的方法。此外，“降噪”效应在CS上并不显著，这使得Putniņš（2013）的信息领先份额（ILS）指标无法在低频数据下消除噪声。我们新颖的领先时间（LT）指标表明，沪深证券交易所300 （CSI 300）和中国证券交易所500 （CSI 500）期货主导价格发现。异步信息更新高估了期货的价格发现能力。

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Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China

Uniquely addressing asynchronous informational update between index and futures, we find that reduction in data frequency depicts a dual effect of “noise reduction” and “speed reduction” on Hasbrouck's (1995) information share (IS) and Gonzalo-Granger's (1995) component share (CS) indicators. Furthermore, the “noise reduction” effect does not exist significantly on CS, thereby preventing Putniņš's (2013) information leading share (ILS) indicator from eliminating noise under low-frequency data. Our novel leading time (LT) indicator suggests that the Shanghai-Shenzhen Stock Exchange 300 (CSI 300) and China Stock Exchange 500 (CSI 500) futures dominate price discovery. An asynchronous informational update overestimates the price discovery ability of futures.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.