题目：Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets时变价格发现和自回归误差调整系数：标普500指数和股指期货的实证分析

报告人：Prof. Steven LiProfessor of Finance

Graduate School of Business and Law (GSBL)，RMIT University

时间：2017年10月23日15:00

地点：科技楼601室

主办单位：中南大学科研部、中南大学数据科学与经济行为决策研究中心、中南大学商学院经济行为决策研究中心

                                            2017年10月17日

Abstract

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 implications for the price discovery measurement. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in price discovery measurement compared to the constant loading factor model. Overall, this research provides supporting empirical evidence for using autoregressive loading factors for the price discovery measurement.

Key words: Price Discovery, Information Share, S&P 500 E-mini Futures, AGDCC GARCH, Loading Factor, Error Correction Coefficient