Are tightened trading rules always bad? Evidence from the Chinese index futures market

DOI10.1080/14697688.2018.1445586MaRDI QIDQ5026525zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1445586

zbMATH Keywords

index futuresmanipulationmarket efficiencyprice discoverytightened trading rules

Mathematics Subject Classification ID

Financial markets (91G15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An automatic portmanteau test for serial correlation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Modeling and Forecasting Realized Volatility
• Price discovery in Chinese stock index futures market: new evidence based on intraday data
• Spectral based testing of the martingale hypothesis

Cited in

(10)

• Did crisis alter trading of two major oil futures markets?
• Index future trading and spot market volatility in frontier markets: evidence from Ho Chi Minh Stock Exchange
• Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
• Information transmission between futures and spot markets of the stock index in the abnormal market
• Impact of mitigating tick size on mispricing of index futures in Taiwan stock exchanges
• Effects of spot market short-sale constraints on index futures trading
• Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
• Research on liquidity and market effect based on ``buy buy buy -- an evidence from A-share market on placards
• Call auction, continuous trading and closing price formation
• The impact of stock index futures on the microstructure of spot market

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