Abstract
This study examines the impact of Chinese macroeconomic announcements regarding consumer price index (CPI) and producer price index (PPI) on the China Security Index 300 futures. We find that when the surprise direction of CPI news is consistent with that of PPI, the reactions of stock index futures price to CPI announcements are stronger. Considering the heterogeneity of financial institutions, both PPI and CPI announcements have a more significant impact on the price of stock index futures. Furthermore, the impact of macroeconomic news announcements on the price of stock index futures is related to investors’ trust in financial institutions. The news surprise of financial institutions with high forecast accuracy and rich forecasting experience has a more significant effect on stock index futures.
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