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

Han, Qian, Zhao, Chengzhi, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Guo, Qian 2025. Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. Emerging Markets Review 67 , 101307. 10.1016/j.ememar.2025.101307

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Abstract

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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Mathematics
Publisher:	Elsevier
ISSN:	1566-0141
Date of First Compliant Deposit:	22 January 2025
Date of Acceptance:	12 May 2025
Last Modified:	22 May 2025 09:55
URI:	https://orca.cardiff.ac.uk/id/eprint/175507

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