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The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets

Author

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  • Qingfeng “Wilson” Liu

    (Department of Finance and Business Law, College of Business, James Madison University, Harrisonburg, VA 22807, USA)

  • Hui Sono

    (Department of Finance and Business Law, College of Business, James Madison University, Harrisonburg, VA 22807, USA)

  • Wei Zhang

    (Department of Finance and Marketing, College of Business, California State University, Chico, Chico, CA 95929, USA)

Abstract

In this paper, we examine the price discovery patterns in the three BRICS countries’ stock index futures markets which were launched after 2000 – China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures’ price discovery functions from China’s regulatory changes in September 2015 and Russia’s economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.

Suggested Citation

  • Qingfeng “Wilson” Liu & Hui Sono & Wei Zhang, 2021. "The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 1-28, September.
    • Handle: RePEc:wsi:rpbfmp:v:24:y:2021:i:03:n:s021909152150020x
    DOI: 10.1142/S021909152150020X
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    References listed on IDEAS

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