How do Chinese stock index futures respond to stock-related news
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The market impact of news announcements has been a topic of heated debate. A large body of research has investigated how the markets respond to the release and dissemination of various kinds of information, including government announcements, corporate announcements, analysts’ reports and user-generated contents on social media. However, most previous research focused on analyzing the influence of one specific kind of information. Little research comparing the relative importance of information can be found in the literature. This limitation draws a gap between the academic research and current trading practice, because according to efficient market hypothesis, all relative information are immediately incorporated into the equity prices. Our research incorporates econometric estimation of event intensity and compares the influence of various market-related information on the Chinese stock index futures contract. We discover that government announcements and corporate restructuring news are significantly associated with the return on stock index futures.