Title :
Relationship between Daily Settlement Price Decision Method and Stock Index Futures Price Discovery Efficiency: A Study of HSI Index Futures
Author :
Zhu, Wang ; Feng, Wu Chong ; Rong, Wang Xin
Author_Institution :
Financial Eng. Center, Shanghai Jiao Tong Univ.
Abstract :
Price discovery efficiency receives heightened attention as a fundamental research of price discovery theoretically. This paper develops a general price discovery model (GPDM), in which price discovery efficiency is assessed by price discovery speed, after concluding all the related research on price discovery speed. The GPDM is used to evaluate the price discovery speed and price discovery efficiency of different settlement price decision method, including alpha - winsorized mean, truncated mean, volume weighted mean, exponentially weighted mean and current settlement method, with market data of HSI index futures. The alpha- winsorized mean is the most efficient method of price discovery while the current method is the least efficient one
Keywords :
decision making; decision theory; economic indicators; pricing; stock markets; HSI index futures; current settlement method; daily settlement price decision method; exponentially weighted mean; general price discovery model; market data; stock index futures; truncated mean; volume weighted mean; winsorized mean; Continuing education; Contracts; Costs; Design methodology; Marketing and sales; Pricing; Security; Stock markets; Price discovery; Settlement price; Stock index futures;
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.314167
