|
|
Price Discovery and Volatility Spillovers between SGX FTSE/Xinhua -China A50 Index Futures and A-Share Market |
XIONG Xiong, WANG Fang, ZHANG Wei, SUN Ya-Jing |
1.Tianjin University, Tianjin, China;2.Tianjin University of Finance and Economics, Tianjin, China |
|
|
Abstract This paper studies the long-term and short-term price discovery function of FTSE/Xinhua China A50 Index Futures and CSI 300 index, the Index of Shanghai Stock Exchange through co-integration test, error correction model and the impulse response function. Empirical results show that FTSE/Xinhua China A50 Index Futures is price discovery vehicle for A-share market to some extent. Furthermore, this paper uses Granger test and BEKK model to explore the volatility spillovers effects of FTSE/Xinhua A50 Index Futures. Empirical results show that the FTSE Xinhua China A50 Index Futures is not a source of instability in A-share market.
|
Received: 03 June 2009
|
|
|
|
|
|
|