Do Implicit Phenomena Matter? Evidence from China Stock Index Futures

Abstract

The CSI 300 Futures Index (CSI300F) rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this article. Owing to big data concerns, the authors explore whether investors would profit when the implicit rising (falling) phenomena occur—events that exist in practice but remain unexplored in the literature. In this study, they reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F which implies that momentum strategies may be appropriate for trading the CSI300F as the implicit phenomena occurs. The authors suspect that implicit phenomena could be an indication of manipulation of investors with market force or insiders. Thus, they argue that investors should consider these results when trading index futures.

TOPICS: Mutual funds/passive investing/indexing, emerging, futures and forward contracts, statistical methods