The inefficiency of information transmission between stock index futures and the underlying index: Measurements and characteristics
作者：
Highlights：
• We propose a new nonparametric measure of IEIT between stock index futures and spot.
• IEIT between CSI 300 index future and spot exhibits an intraday U-shaped pattern.
• Higher IEIT leads to higher returns, weaker price discovery and more speculation.
• IEIT can explain anomalies in Fama–French Model and has pricing power.
• IEIT is affected by liquidity, volatility and overnight information shocks.
摘要
•We propose a new nonparametric measure of IEIT between stock index futures and spot.•IEIT between CSI 300 index future and spot exhibits an intraday U-shaped pattern.•Higher IEIT leads to higher returns, weaker price discovery and more speculation.•IEIT can explain anomalies in Fama–French Model and has pricing power.•IEIT is affected by liquidity, volatility and overnight information shocks.
论文关键词：Inefficiency of information transmission,Market microstructure,Dynamic time warping,CSI 300 index futures
论文评审过程：Received 5 November 2021, Revised 13 February 2022, Accepted 28 March 2022, Available online 10 April 2022, Version of Record 25 April 2022.
论文官网地址：https://doi.org/10.1016/j.eswa.2022.117085
