Price Discovery in Stock Index Futures and Spot Markets under Tightened Trading Rules Evidence from Chinese Markets
In response to the 2015 Chinese stock market crash, a series of tightened trading policies in the Chinese index futures market were executed aiming at restricting speculation positions.This paper empirically investigates the impact of those tightened trading rules in the index futures market on the price discovery function of Chinese index futures and spot markets by studying the joint dynamic structure of the CSI 300 index futures and spot returns using daily data.Results of Granger causality tests, impulse response functions and forecast error variance decomposition indicate that the spot market leads the index futures market and plays a more dominant role in the price discovery process in the pre-restriction period.But the futures market Granger-causes the spot market after executions of tightened trading policies.After controlling market crash effect and trading rules instability in the restriction period, there exists a significant two-way Granger causality between the two markets.
Stock Index Futures Tightened Trading Rules Price Discovery VAR model
LI Xuevan
School of Economics, Shanghai University, Shanghai, China, 200444
国际会议
日本
英文
229-233
2017-07-01（万方平台首次上网日期，不代表论文的发表时间）