On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment

被引：10
|
作者：
Han, Jianlei [1 ]
Pan, Zheyao [1 ,2 ]
机构：
[1] Univ Queensland, UQ Business Sch, Brisbane, Qld, Australia
[2] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin, New Zealand
来源：
JOURNAL OF FINANCIAL MARKETS | 2017年 / 36卷
关键词：
Futures-cash basis; Liquidity; Trading restrictions; Arbitrage; MARKET LIQUIDITY; TRADING ACTIVITY; DEALER SERVICES; PRICE DISCOVERY; STOCK RETURNS; INDEX; ILLIQUIDITY; VOLATILITY; ARBITRAGE; CHINA;
D O I：
10.1016/j.finmar.2016.12.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
As a response to the 2015 Chinese stock market crash, regulators prohibited arbitrage activities in the index futures and cash markets. We use this natural experiment to test the hypothesis that liquidity and pricing efficiency causally affect each other. We find that resulting shift in the arbitrage boundary led to the breakdown of the two-way causality relation between liquidity and the absolute futures-cash basis. We thus confirm that the relation between liquidity and the absolute futures-cash basis is not driven by the omitted variable bias, but is indeed due to arbitrage. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：115 / 131
页数：17
相关论文
共 50 条
  • [1] Impact of Liquidity on the Futures-Cash Basis: Evidence from the Indian Market
    Kadapakkam, Palani-Rajan
    Kumar, Umesh
    [J]. JOURNAL OF FUTURES MARKETS, 2013, 33 (03) : 266 - 298
  • [2] Liquidity and the law of one price: The case of the futures-cash basis
    Roll, Richard
    Schwartz, Eduardo
    Subrahmanyam, Avanidhar
    [J]. JOURNAL OF FINANCE, 2007, 62 (05): : 2201 - 2234
  • [3] Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis
    Lien, Donald
    Lim, Gerui
    Yang, Li
    Zhou, Chunyang
    [J]. JOURNAL OF FUTURES MARKETS, 2013, 33 (04) : 327 - 342
  • [4] Commonality in trading activity and futures-cash basis: Evidence from the Taiwan futures and stock markets
    Lee, Hsiu-Chuan
    Chien, Cheng-Yi
    Liao, Tzu-Hsiang
    [J]. JOURNAL OF FUTURES MARKETS, 2012, 32 (10) : 964 - 994
  • [5] Downside jump risk and the levels of futures-cash basis
    Chen, Chin-Ho
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2019, 57
  • [6] The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market
    Wu, Lei
    Zeng, Hongchao
    [J]. ECONOMIC MODELLING, 2019, 83 : 96 - 110
  • [7] Ownership concentration and market liquidity: Evidence from a natural experiment
    Leano, Miguel
    Pedraza, Alvaro
    [J]. ECONOMICS LETTERS, 2018, 167 : 56 - 59
  • [8] Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons
    Wang, Xinjie
    Wu, Ge
    Zhong, Zhaodong
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2024,
  • [9] Stakeholder orientation and the value of cash holdings: Evidence from a natural experiment
    Chowdhury, Rajib
    Doukas, John A.
    Park, Jong Chool
    [J]. JOURNAL OF CORPORATE FINANCE, 2021, 69
  • [10] Judicial Independence and Cash Flow: Evidence from a Natural Experiment in China
    Qian, Xianhang
    [J]. INTERNATIONAL REVIEW OF FINANCE, 2019, 19 (04) : 863 - 875
12345