 Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futuresMing Fang, Chiu-Lan Chang and Qi Zhang Economic Analysis and Policy, 2023, vol. 79, issue C, 184-204 Abstract: Commonly trading restrictions have various impacts on asset prices and investors’ speculative activities. This study uses the unique trading restrictions in China from 2015 to 2017 to study how it affects the price volatilities and speculative activities of China Securities Index 300 (CSI 300) futures. To capture the daily price volatilities precisely, we apply four different measures incorporate opening, high, low, and closing prices. Speculative and hedging activities are calculated by using volume and open interest data. We find interesting evidence that trading restrictions decrease the price volatilities and the trading activities of speculators. However, though the trading restrictions have been eased since 2017, the speculators are still unwilling to participate in futures market immediately. Overall, the trading restrictions affect the price volatilities and speculative activities and provide the protection for the majority of investors, however, it also hinders the price discovery function of the futures market. Keywords: Trading restrictions; Price volatilities; Speculative activities; Hedge activities; Index futures (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:79:y:2023:i:c:p:184-204 DOI: 10.1016/j.eap.2023.06.019 Access Statistics for this article Economic Analysis and Policy is currently edited by Clevo Wilson More articles in Economic Analysis and Policy from Elsevier |
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