Economics, Econometrics and Finance
6 years ago

Restrictive Measures Hinder Stock Market Efficiency, CSI 500 Futures Unstable.

International Journal of Financial Research
The Impact of Restrictive Measures on the Price Discovery Function of Stock Index Futures – Evidence From CSI 500 Stock Index Futures
Maoguo Wu, Zhehao Zhu

Paper Summary

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Restrictive measures by governments affect the price discovery function of stock index futures. A study compared CSI 500 stock index futures before and after these measures. They found that before the measures, the price discovery function was more efficient, but after, it did not work well. Stock index futures help with price discovery, but during certain times, the spot market had more influence due to the measures. This shows that the price discovery function of CSI 500 stock index futures can be unstable.