Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a drastic falling immediately after the stock index...

This paper investigates the dynamic changes in the price discovery ability and volatility spillover characteristics in the Chinese stock index futures market as trading rules were loosened step by step. The result shows that as trading restrictions were relaxed, the price discovery ability of...