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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