Superstitious Numbers and Price Clustering：A Study Based on CSI 300 Stock Index Futures

Efficient Price Discovery in Stock Index Cash and Futures Markets

This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data

The cross-correlation between the China Securities Index 300 (CSI 300) index futures and the spot markets based on high-frequency data is discussed in this paper. We empirically analyze the cross-correlation by using themultifractal detrended cross-correlation analysis (MF-DCCA), and investigate further the characteristics of asymmetry, frequency difference, and transmission direction of the cr...

Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

Price Discovery and Arbitrage between Futures and Cash Markets for Taiwan Stock Index

index derivatives, index futures, index options, stock portfolio futures, stock portfolio options

nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...