Study on Informational Transaction and Its Effect on China's Stock Index Futures Market | Zendy

Hongli Che | Zendy; Xiong Xiong | Zendy; Jiatong Han | Zendy; Wei Zhang | Zendy; Yongjie Zhang | Zendy

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Study on Informational Transaction and Its Effect on China's Stock Index Futures Market

Author(s) -

Hongli Che,

Xiong Xiong,

Jiatong Han,

Wei Zhang,

Yongjie Zhang

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/272403

Subject(s) - futures contract , volatility (finance) , database transaction , index (typography) , futures market , financial economics , economics , stock market , stock market index , stock index futures , china , econometrics , business , computer science , paleontology , horse , world wide web , political science , law , biology , programming language

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

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