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

页码：115 / 131

页数：17

共 50 条

[31] Conditional cash penalties in education: Evidence from the Learnfare experiment
Dee, Thomas S.
[J]. ECONOMICS OF EDUCATION REVIEW, 2011, 30 (05) : 924 - 937
[32] Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange
Frino, Alex
Gerace, Dionigi
Lepone, Andrew
[J]. ACCOUNTING AND FINANCE, 2008, 48 (04): : 561 - 573
[33] Green credit policy and investment-cash flow sensitivity: Evidence from a quasi-natural experiment
Zhao, Jing
Huang, Jingchang
Liu, Feng
[J]. FINANCE RESEARCH LETTERS, 2023, 52
[34] Do environmental regulations affect firm's cash holdings? Evidence from a quasi-natural experiment
Li, Weiping
Chen, Xiaoqi
Huang, Jiashun
Gong, Xu
Wu, Wei
[J]. ENERGY ECONOMICS, 2022, 112
[35] Stock Liquidity and Firm Value: Evidence from a Policy Experiment in India
Jawed, Mohammad Shameem
Kotha, Kiran Kumar
[J]. INTERNATIONAL REVIEW OF FINANCE, 2020, 20 (01) : 215 - 224
[36] Income timing and liquidity constraints: Evidence from a randomized field experiment
Brune, Lasse
Kerwin, Jason T.
[J]. JOURNAL OF DEVELOPMENT ECONOMICS, 2019, 138 : 294 - 308
[37] Evidence from Publicly Traded Insurance Firms of a Non-Linear Relation Between Liquidity and Reinsurance
Scordis, Nicos A.
[J]. JOURNAL OF INSURANCE ISSUES, 2023, 46 (01) : 1 - 29
[38] Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market
Wang, Junbo
Wu, Chunchi
[J]. JOURNAL OF BANKING & FINANCE, 2015, 50 : 183 - 203
[39] Cash, food, or vouchers? Evidence from a randomized experiment in northern Ecuador
Hidrobo, Melissa
Hoddinott, John
Peterman, Amber
Margolies, Amy
Moreira, Vanessa
[J]. JOURNAL OF DEVELOPMENT ECONOMICS, 2014, 107 : 144 - 156
[40] The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
Chou, Robin K.
Wang, George H. K.
Wang, Yun-Yi
[J]. JOURNAL OF FUTURES MARKETS, 2015, 35 (10) : 894 - 915

← 1 2 3 4 5 →