The Intraday Relation between Stock Market Volatility and Futures Market Probability of Informed Trading: The Case of China

• 발행기관: 한국자료분석학회
• 저자명: Ming Wu 옥기율(Ki Yool Ohk)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.4, 1771~1779쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.08.30

영문 초록

Using high-frequency data, this study investigates intraday relation between CSI300 index futures (volume synchronized probability of informed trading) and CSI300 index return volatility. We first examine if CSI300 index futures can effect the stock market volatility and then, we investigate if the CSI300 index return volatility as stock market information measure can effect in the futures market. Following Easley et al. (2012), we first employ Pearson s correlation and then, we compute the joint distribution of and absolute returns. The results are as follow: First, we find that there is a positive correlation between CSI300 index futures and CSI300 index return volatility. Second, the results of the conditional probability distributions of CSI300 index absolute returns and CSI300 index futures show that the persistently high levels of in futures market can increase the stock market volatility. Finally, the results of the conditional probability distributions of CSI300 index futures conditioned on the prior level of CSI300 index return volatility show that high level of the stock market volatility can increase the in the futures market. Also, we find that the stock market plays a major role in China, apparently due to high barriers to entry into Chinese futures market.

목차

1. Introduction

2. Data descriptions

3. Methodology

4. Empirical results

5. Conclusion

References

키워드

Stock market Volatility Futures market VPIN Chinese market