Pricing dynamics, informational efficiency and hedging performance of CSI 300 index future market /
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(Published version)
Date
2014
Authors
Hou, Yang,
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thesis
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Abstract
China has recently introduced its own stock index futures, i.e. China Securities Index (CSI) 300 index futures. The introduction of the Chinese stock index futures market is perceived as a significant event to global financial markets and thus draws a lot of attention in academic research. This thesis explores the pricing dynamics, informational efficiency, and hedging performance of the CSI 300 index futures market. It enriches the literature by revealing new stylised facts of pricing dynamics of this market and it contributes to the better understanding of the functionality of the market for relevant stakeholders. In particular, the question whether the CSI 300 index futures market benefits the development of the Chinese stock market is investigated. The results can be summarised in the following five aspects.
School/Discipline
University of South Australia. School of Commerce.
School of Commerce
School of Commerce
Dissertation Note
Thesis (PhD)--University of South Australia, 2014.
Provenance
Copyright 2014 Yang Hou. This work is made available under the Creative Commons Attribution-NonCommercial- NoDerivs Australia 3.0 licence (http://creativecommons.org/licenses/by-nc-nd/3.0/au/)
Description
1 ethesis (xviii, 237 pages) :
illustrations (some colour)
Includes bibliographical references (pages 205-222)
illustrations (some colour)
Includes bibliographical references (pages 205-222)
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