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.
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页码：115 / 131
页数：17
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