This paper examines time-varying price discovery of the Chinese stock index futures market during a stock market crash in 2015. We find that the index futures market plays a long-run leading role in terms of its higher static and dynamic generalised information share (GIS) than both the Shanghai...

The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. To date, only constant loading factors have been considered for the price discovery measurement. This paper attempts to consider the autoregressive loading factors and their...

While dynamic optimal hedging is of major interest, it remains unclear as to whether incorporating higher moments of a return distribution leads to better hedging decisions. We examine the effects of introducing a bivariate skew-Student density function with static and autoregressive conditional...

Motivated by the lack of investigation on the behavioral interpretation on the momentum premium, this paper addresses this issue by focusing on the effect of investor sentiment on a sample of the comprehensive Chinese A-share index covering the period from 2006 to 2015. Expect for uncovering the...

The efficiency of investment affects the future development of the enterprises. The relevant literature on the corporate investment shows that the information asymmetry and the conflict of agency between the executives and the shareholders of the enterprises have a significant influence on the...

Climate forecasting systems that group years on the basis of a climate forecasting index like the Southern Oscillation Index (SOI) or sea surface temperatures (SSTs) are quite simple to explain to industry personnel. Phase systems identify a subset of years (analogues) that have the same phase...