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Identifying the role of consumer and producer price index announcements in stock index futures price changes

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  • Liu, Guofang
  • Fang, Xi
  • Huang, Yuan
  • Zhao, Weidong

Abstract

This study examines the impact of Chinese macroeconomic announcements regarding consumer price index (CPI) and producer price index (PPI) on the China Security Index 300 futures. We find that when the surprise direction of CPI news is consistent with that of PPI, the reactions of stock index futures price to CPI announcements are stronger. Considering the heterogeneity of financial institutions, both PPI and CPI announcements have a more significant impact on the price of stock index futures. Furthermore, the impact of macroeconomic news announcements on the price of stock index futures is related to investors’ trust in financial institutions. The news surprise of financial institutions with high forecast accuracy and rich forecasting experience has a more significant effect on stock index futures.

Suggested Citation

  • Liu, Guofang & Fang, Xi & Huang, Yuan & Zhao, Weidong, 2021. "Identifying the role of consumer and producer price index announcements in stock index futures price changes," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 87-101.
    • Handle: RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101
    DOI: 10.1016/j.eap.2021.07.009
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    Cited by:

    1. Yan, Wan-Lin, 2023. "Stock index futures price prediction using feature selection and deep learning," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    2. Liu, Jiayue & Ye, Jimin & E, Jianwei, 2023. "A multi-scale forecasting model for CPI based on independent component analysis and non-linear autoregressive neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).

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    More about this item

    Keywords

    News surprise; Institutional heterogeneity; Forecast accuracy; Forecasting experience;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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