{"id":"https://openalex.org/W2144520303","doi":"https://doi.org/10.1108/03684921211276756","title":"Risk of inefficiency on the Chinese index futures market","display_name":"Risk of inefficiency on the Chinese index futures market","publication_year":2012,"publication_date":"2012-10-12","ids":{"openalex":"https://openalex.org/W2144520303","doi":"https://doi.org/10.1108/03684921211276756","mag":"2144520303"},"language":"en","primary_location":{"id":"doi:10.1108/03684921211276756","is_oa":false,"landing_page_url":"https://doi.org/10.1108/03684921211276756","pdf_url":null,"source":{"id":"https://openalex.org/S168682784","display_name":"Kybernetes","issn_l":"0368-492X","issn":["0368-492X","1758-7883"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Kybernetes","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019929472","display_name":"Chaoqun Ma","orcid":"https://orcid.org/0000-0001-5387-7357"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chaoqun Ma","raw_affiliation_strings":["School of Business Administration, Hunan University, Changsha, China","School of Business Administration, Hunan University , Changsha, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business Administration, Hunan University, Changsha, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"School of Business Administration, Hunan University , Changsha, China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100609536","display_name":"Lan Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lan Liu","raw_affiliation_strings":["School of Business Administration, Hunan University, Changsha, China","School of Business Administration, Hunan University , Changsha, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business Administration, Hunan University, Changsha, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"School of Business Administration, Hunan University , Changsha, China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100372767","display_name":"Junbo Wang","orcid":"https://orcid.org/0000-0002-8630-7550"},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Junbo Wang","raw_affiliation_strings":["College of Business, City University of Hong Kong, Hong Kong, China","College of Business, City University of Hong Kong, Hong Kong, China#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business, City University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I168719708"]},{"raw_affiliation_string":"College of Business, City University of Hong Kong, Hong Kong, China#TAB#","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100394927","display_name":"Jing Chen","orcid":"https://orcid.org/0000-0002-8202-9389"},"institutions":[{"id":"https://openalex.org/I17301866","display_name":"University of Alabama","ror":"https://ror.org/03xrrjk67","country_code":"US","type":"education","lineage":["https://openalex.org/I17301866"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jing Chen","raw_affiliation_strings":["Department of Mathematics, The University of Alabama, Tuscaloosa, Alabama, USA","Department of Mathematics The University of Alabama Tuscaloosa Alabama USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, The University of Alabama, Tuscaloosa, Alabama, USA","institution_ids":["https://openalex.org/I17301866"]},{"raw_affiliation_string":"Department of Mathematics The University of Alabama Tuscaloosa Alabama USA","institution_ids":["https://openalex.org/I17301866"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.21837892,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"41","issue":"10","first_page":"1571","last_page":"1585"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/inefficiency","display_name":"Inefficiency","score":0.7898436188697815},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7138391137123108},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.612113356590271},{"id":"https://openalex.org/keywords/forward-market","display_name":"Forward market","score":0.5852441787719727},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.5623185038566589},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5616332292556763},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5338334441184998},{"id":"https://openalex.org/keywords/profitability-index","display_name":"Profitability index","score":0.4806060492992401},{"id":"https://openalex.org/keywords/stock-market-index","display_name":"Stock market index","score":0.42183417081832886},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4142102599143982},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3849828243255615},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.3339933156967163},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.17387375235557556},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1459190845489502},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.1311081051826477},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.11157548427581787},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.10598757863044739},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.10334211587905884}],"concepts":[{"id":"https://openalex.org/C2778869765","wikidata":"https://www.wikidata.org/wiki/Q6028363","display_name":"Inefficiency","level":2,"score":0.7898436188697815},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7138391137123108},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.612113356590271},{"id":"https://openalex.org/C52837651","wikidata":"https://www.wikidata.org/wiki/Q5473279","display_name":"Forward market","level":3,"score":0.5852441787719727},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5623185038566589},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5616332292556763},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5338334441184998},{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.4806060492992401},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.42183417081832886},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4142102599143982},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3849828243255615},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.3339933156967163},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.17387375235557556},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1459190845489502},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1311081051826477},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.11157548427581787},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10598757863044739},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.10334211587905884},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/03684921211276756","is_oa":false,"landing_page_url":"https://doi.org/10.1108/03684921211276756","pdf_url":null,"source":{"id":"https://openalex.org/S168682784","display_name":"Kybernetes","issn_l":"0368-492X","issn":["0368-492X","1758-7883"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Kybernetes","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W1483702142","https://openalex.org/W1873865352","https://openalex.org/W1965806369","https://openalex.org/W1966512200","https://openalex.org/W1978469534","https://openalex.org/W1979310853","https://openalex.org/W1994328732","https://openalex.org/W2004221547","https://openalex.org/W2010499157","https://openalex.org/W2022383109","https://openalex.org/W2032382731","https://openalex.org/W2033216376","https://openalex.org/W2046622874","https://openalex.org/W2048941631","https://openalex.org/W2054467778","https://openalex.org/W2054985168","https://openalex.org/W2058481226","https://openalex.org/W2065560669","https://openalex.org/W2065649187","https://openalex.org/W2068764183","https://openalex.org/W2085984724","https://openalex.org/W2087617053","https://openalex.org/W2090169692","https://openalex.org/W2093483023","https://openalex.org/W2104256370","https://openalex.org/W2115629946","https://openalex.org/W2118880356","https://openalex.org/W2119567814","https://openalex.org/W2127120472","https://openalex.org/W2131773668","https://openalex.org/W2140934777","https://openalex.org/W2168261877","https://openalex.org/W2333873381","https://openalex.org/W2371893545","https://openalex.org/W2378603951","https://openalex.org/W2384432589","https://openalex.org/W3123204956","https://openalex.org/W4231508344","https://openalex.org/W7057772348"],"related_works":["https://openalex.org/W4210388326","https://openalex.org/W2089215424","https://openalex.org/W2065823200","https://openalex.org/W2001134447","https://openalex.org/W2054357408","https://openalex.org/W2506576662","https://openalex.org/W1509488274","https://openalex.org/W2061018361","https://openalex.org/W3124189739","https://openalex.org/W2490791185"],"abstract_inverted_index":{"Purpose":[0],"The":[1,30,129],"purpose":[2],"of":[3,11,13,25,32,120,126,131,149],"this":[4,112],"paper":[5],"is":[6,38,93,101,113],"to":[7,35,57,108,115,123],"examine":[8],"the":[9,21,59,96,109,117,124,132,140,150],"risk":[10,34],"inefficiency":[12],"China's":[14],"stock":[15],"index":[16,98,136],"futures":[17,99,137],"market":[18,36,48,100,127,138],"by":[19,89],"investigating":[20],"opportunity":[22],"and":[23,52,65,75,81,139],"profitability":[24],"exchange\u2010traded":[26],"fund":[27],"(ETF)":[28],"arbitrage.":[29],"explanation":[31],"behavioral":[33,121],"efficiency":[37,49],"examined.":[39],"Design/methodology/approach":[40],"Based":[41],"on":[42],"cost\u2010of\u2010carry":[43],"model,":[44],"some":[45],"assumptions":[46],"about":[47,134],"were":[50,55],"examined,":[51],"statistical":[53],"tests":[54],"implemented":[56],"support":[58],"findings.":[60],"Findings":[61],"In":[62],"China,":[63],"borrowing":[64],"lending":[66],"interest":[67],"rates":[68],"are":[69,73,143],"quite":[70],"different;":[71],"dividends":[72],"small":[74],"paid":[76],"in":[77,87],"an":[78],"irregular":[79],"manner;":[80],"short":[82],"sale":[83],"cannot":[84],"be":[85,116],"used":[86],"arbitrage":[88],"all":[90],"investors.":[91],"It":[92],"found":[94],"that":[95],"Chinese":[97,135],"far":[102],"from":[103],"efficient.":[104],"Originality/value":[105],"With":[106],"reference":[107],"empirical":[110],"study,":[111],"believed":[114],"first":[118],"application":[119],"study":[122,125],"efficiency.":[128],"analysis":[130],"statistics":[133],"algorithm":[141],"parameters":[142],"very":[144],"valuable":[145],"for":[146],"in\u2010depth":[147],"understanding":[148],"emerging":[151],"markets.":[152]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
