文献类型：期刊文献

英文题名：The lead-lag relationship between the spot and futures markets in China

作者：Wang, Donghua[1,2];Tu, Jingqing[1];Chang, Xiaohui[3];Li, Saiping[4]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Inst Financial Engn, Shanghai 200237, Peoples R China;[3]Oregon State Univ, Coll Business, Corvallis, OR 97331 USA;[4]Acad Sinica, Inst Phys, Taipei 115, Taiwan

年份：2017

卷号：17

期号：9

起止页码：1447

外文期刊名：QUANTITATIVE FINANCE

收录：;WOS:【SSCI(收录号:WOS:000407472100010)，SCI-EXPANDED(收录号:WOS:000407472100010)】；

基金：This work is supported by the National Science Foundation of China [grant number 71171083]; Innovation Program of Shanghai Municipal Education Commission [grant number 14ZS058]; Shanghai Pujiang Program [grant number 15PJC021].

语种：英文

外文关键词：Causality; Lead-lag relationship; Thermal optimal path; CSI 300

摘要：Based on daily and one-minute high-frequency returns, this paper examines the lead-lag dependence between the CSI 300 index spot and futures markets from 2010 to 2014. A nonparametric and non-linear method based on the thermal optimal path method is adopted. Empirical results of the daily data indicate that the lead-lag relationship between the two markets is within one day but this relationship is volatile since neither of the two possible situations (the futures leads or lags behind the spot market) takes a dominant place. Our results using the high-frequency data demonstrate that there is a price discovery in the Chinese futures market: the intraday one-minute futures return leads the cash return by 0-5min regardless of the price trend of the market.