Guo, B., Q. Han, M. Liu, D. Ryu——Emerging Markets Finance & Trade: A Tale of Two Index Futures
时间:2013-01-22
This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we find that China’s CSI 300 index futures dominate Singapore’s A50 index futures in both intraday price discovery and intraday volatility transmission processes. However, A50 futures contracts also make a substantial contribution (26%-37%) in the pri