Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash

被引：44
作者：
Han, Qian [1 ,2 ,3 ,4 ]
Liang, Jufang
机构：
[1] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Peoples R China
[2] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Peoples R China
[3] Xiamen Univ, Sch Econ, MOE, Key Lab Econometr, Xiamen, Peoples R China
[4] Xiamen Univ, Fujian Key Lab Stat, Xiamen, Peoples R China
来源：
JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 04期
关键词：
INTRADAY PRICE DISCOVERY; VOLATILITY TRANSMISSION; LIQUIDITY; OPTIONS; RETURNS;
D O I：
10.1002/fut.21825
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using a difference-in-difference approach, we find that restrictions placed on the CSI 300 and CSI 500 index futures trading during the recent Chinese stock market crisis deteriorated spot market quality, particularly the September trade restrictions. Our results can be explained by the sudden risk exposure faced by alpha-strategy traders who stop trading spots after the index futures trading restrictions are introduced, thus worsening the spot market quality. (C) 2016 Wiley Periodicals, Inc.
引用
收藏
页码：411 / 428
页数：18
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