| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069431 | Finance Research Letters | 2015 | 19 Pages |
Abstract
Using both information shares and common factor component weight approaches, we calculate the price discovery between the CSI 300 index futures market and the Chinese A-share market. We find that the futures market contributes more to the price discovery process. Furthermore, employing the classified data of institutional and individual trading volume, we investigate the impacts of institutions and individuals on the price discovery performance of futures market. The results show that institutional trading positively improves the futures market's contribution to price discovery, whereas individual trading is found to have an adverse impact on the price efficiency in the futures market.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Feng Xu, Difang Wan,