EconPapers    
Economics at your fingertips  
 

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

Qian Han and Jufang Liang

Journal of Futures Markets, 2017, vol. 37, issue 4, 411-428

Abstract: 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. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:411–428, 2017

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:37:y:2017:i:4:p:411-428

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-03-19
Handle: RePEc:wly:jfutmk:v:37:y:2017:i:4:p:411-428