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Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis

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  • Xiaojie Xu

    (North Carolina State University)

Abstract

This study investigates linear and nonlinear price information flows between the Chinese Stock Index 300 (CSI300) and futures market using high-frequency data and their wavelet transformed series for three regimes for which stock short-selling restrictions in China are different. Empirical results generally indicate information feedback between these two markets regardless of assumptions of linear and nonlinear causality and regimes for original series and wavelet transformed data at different scales.

Suggested Citation

  • Xiaojie Xu, 2018. "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, vol. 54(3), pages 1267-1295, May.
    • Handle: RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1245-2
    DOI: 10.1007/s00181-017-1245-2
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    2. Xiaojie Xu & Yun Zhang, 2022. "Forecasting the total market value of a shares traded in the Shenzhen stock exchange via the neural network," Economics Bulletin, AccessEcon, vol. 42(3), pages 1266-1279.
    3. Xiaojie Xu & Yun Zhang, 2023. "Neural network predictions of the high-frequency CSI300 first distant futures trading volume," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 191-207, June.

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    More about this item

    Keywords

    CSI300; Spot; Futures; Information flow; Causality; Wavelet method;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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