RT Journal Article
SR Electronic
T1 Do Implicit Phenomena Matter? <em>Evidence from China Stock Index Futures</em>
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP jai.2018.1.062
DO 10.3905/jai.2018.1.062
A1 Min-Yuh Day
A1 Paoyu Huang
A1 Yensen Ni
A1 Yuhsin Chen
YR 2018
UL https://pm-research.com/content/early/2018/06/11/jai.2018.1.062.abstract
AB The CSI 300 Futures (CSI300F) index 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 which 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 index, 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 the manipulation trace of investors with market force and even insiders. Thus, they argue that investors should consider these results when trading index futures.