Study on Informational Transaction and Its Effect on China's Stock Index Futures Market
Joint Authors
Zhang, Wei
Che, Hongli
Han, Jiatong
Zhang, Yongjie
Xiong, Xiong
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-27
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
Information is one of the important factors that influence the behavior of investors and then have an effect on the price of the risky assets in the market.
Firstly, the new procedure developed by Easley et al.
(2011) is used to estimate the Volume-Synchronized Probability of Informed Trading (VPIN) of the Chinese stock index futures market.
Then VPIN for special scenarios is depicted.
As a result, we find that the future contracts generally have a larger number of information transactions.
We also find that, for particular scenarios, the probability of informed trading in the market has obvious exceptions.
The larger proportion of informed trader is, the higher the volatility of the price is.
American Psychological Association (APA)
Che, Hongli& Xiong, Xiong& Han, Jiatong& Zhang, Wei& Zhang, Yongjie. 2014. Study on Informational Transaction and Its Effect on China's Stock Index Futures Market. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-459280
Modern Language Association (MLA)
Che, Hongli…[et al.]. Study on Informational Transaction and Its Effect on China's Stock Index Futures Market. Mathematical Problems in Engineering No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-459280
American Medical Association (AMA)
Che, Hongli& Xiong, Xiong& Han, Jiatong& Zhang, Wei& Zhang, Yongjie. Study on Informational Transaction and Its Effect on China's Stock Index Futures Market. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-459280
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-459280
