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Article: Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng index markets

TitleDo small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng index markets
Authors
Issue Date2010
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2010, v. 30 n. 2, p. 156-174 How to Cite?
AbstractUsing one-contract-size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. (1995) and Hasbrouck, J. (1995), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/129428
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorTao, Len_HK
dc.contributor.authorSong, FMen_HK
dc.date.accessioned2010-12-23T08:37:11Z-
dc.date.available2010-12-23T08:37:11Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Futures Markets, 2010, v. 30 n. 2, p. 156-174en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/129428-
dc.description.abstractUsing one-contract-size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. (1995) and Hasbrouck, J. (1995), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_HK
dc.relation.ispartofJournal of Futures Marketsen_HK
dc.rightsThe Journal of Futures Markets. Copyright © John Wiley & Sons, Inc.-
dc.titleDo small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng index marketsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0270-7314&volume=30&issue=2&spage=156&epage=174&date=2010&atitle=Do+Small+Traders+contribute+to+Price+Discovery?+Evidence+fro+Hong+Kong+Hang+Seng+Index+Markets-
dc.identifier.emailSong, FM: fmsong@hkucc.hku.hken_HK
dc.identifier.authoritySong, FM=rp01095en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/fut.20410en_HK
dc.identifier.scopuseid_2-s2.0-77955632059en_HK
dc.identifier.hkuros176917en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955632059&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume30en_HK
dc.identifier.issue2en_HK
dc.identifier.spage156en_HK
dc.identifier.epage174en_HK
dc.identifier.isiWOS:000272955500003-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridTao, L=36344230800en_HK
dc.identifier.scopusauthoridSong, FM=7203075605en_HK

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