Summary:
Should stock index futures be restricted during a stock market crisis, and how do such restrictions affect the relationship between stock index futures and the spot market？ It is important to systematically evaluate whether these restrictive trading measures have sufficiently solid regulatory motivation and achieve their intended effects. To fulfil the above task, empirical research is required from multiple perspectives, including the price lead-lag relationship and the volatility spillover between stock index futures and spot prices. This study aims to quantify the impact of regulations restricting the trading of stock index futures on the relationship between stock index futures and spot prices in terms of the lead-lag relationship and price discovery function. We use the information share model (I-S model) proposed by Hasbrouck (1995) to test the price discovery function of the stock index futures. To further test their effects on the stock market under different market conditions and whether stock index futures can play the role of boosting or depressing prices we also introduce a quantile regression method. Using high frequency data from the CSI 300 index and the corresponding stock index futures in China, this study investigates the influence of the restrictive trading regulations during the 2015 Chinese equity market crisis on the relationship between the Chinese stock index futures market and the stock market. We divide the research sample into two stages, pre-and post-restriction, and examine the relationship between stock index futures market and spot stock market prices in three samples: the whole sample, pre-restriction, and post-restriction. Using the I-S, P-T, and quantile regression models, the empirical results show that before the trading restrictions were implemented, the stock index futures had a greater impact on stock market prices, especially during the sharp price decline. Because the large increase in transaction costs on the futures market reduced the information share and component share weightings of the futures market, the restrictive trading regulations weakened the influence of the futures market on the stock market, changing the mode from “depressing more than boosting” and thus enhancing the effect of stock index futures in lifting the market. The potential contributions of this paper are as follows. First, to our knowledge, this is the first study to directly investigate and quantify the impact of restrictive futures trading regulations on the relationship between stock index futures and spot prices. It provides direct empirical evidence for the transaction cost hypothesis of the price discovery function of stock index futures. This study also takes advantage of the restrictive trading regulations during the stock market crisis in 2015, which led to a sharp rise in transaction costs of stock index futures, and directly observes and quantifies the resulting impact on the relationship between these futures and spot prices. Therefore, this study can be regarded as a direct empirical analysis of the transaction cost hypothesis supporting the price discovery function of stock index futures, compared to the indirect evidence provided by previous research. Second, this study helps to assess whether such restrictive trading regulations have regulatory effects during a stock market crisis. From the perspective of policy design, the restrictive measures of regulatory authorities on stock index futures trading during the stock market crisis produced certain expected effects, that is, the restrictive trading regulations did weaken the impact of stock index futures on the stock market, and to an extent changed the asymmetric effect of “depressing rather than boosting,” thus enhancing the impact of stock index futures on the stock market when prices rise. Furthermore, compared to Miao et al. (2017), who provide empirical evidence from the perspective of volatility spillover between stock index futures and the spot market to measure the regulatory motivation of restrictive trading policies, this research provides empirical evidence to measure the regulatory effects from the price lead-lag perspective between stock index futures and the spot market.
许荣, 刘成立. 限制交易政策如何影响期现关系？——对股指期货价格发现功能的实证检验[J]. 金融研究, 2019, 464(2): 154-168.
XU Rong, LIU Chengli. How Do Restrictive Trading Regulations Affect the Relationship between Stock Index Futures and the Spot Market？. Journal of Financial Research, 2019, 464(2): 154-168.
[1]陈焱、李萍和刘涛,2013,《股指期货与现货市场价格的互动、引导关系研究——基于沪深300股指期货的实证分析》,《中央财经大学学报》第2期,第25~30页。 [2]方匡南和蔡振忠,2012,《我国股指期货价格发现功能研究》,《统计研究》第5期,第73~78页。 [3]何诚颖、张龙斌和陈薇,2011,《基于高频数据的沪深300指数期货价格发现能力研究》,《数量经济技术经济研究》第5期,第139~151页。 [4]华仁海和刘庆富,2010,《股指期货与股指现货市场间的价格发现能力探究》,《数量经济技术经济研究》第10期,第90~100页。 [5]李政、卜林和郝毅,2016,《我国股指期货价格发现功能的再探讨——来自三个上市品种的经验证据》,《财贸经济》第7期,第79~93页。 [6]陶利斌、潘婉彬和黄筠哲,2014,《沪深300股指期货价格发现能力的变化及其决定因素》,《金融研究》第4期,第128~142页。 [7]周强龙、朱燕建和贾璐熙,2015,《市场知情交易概率、流动性与波动性——来自中国股指期货市场的经验证据》,《金融研究》第5期,第132~147页。 [8]左浩苗、刘振涛和曾海为,2012,《基于高频数据的股指期货与现货市场波动溢出和信息传导研究》,《金融研究》第4期,第140~154页。 [9]Abruzzo, N. and Park, Y. 2016. “An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications”. Journal of Financial Services Research, 49(1): 65~100. [10]Antoniou, Antonios and I, Garrett.1993.“To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?.”.Economic Journal,103 (421):1444~1461. [11]Baillie, R. T., Booth, G. G., Tse, Y., and Zabotina, T. 2002. “Price Discovery and Common Factor Models” .Journal of Financial Markets, 5(3):309~321. [12]Bohl, M.T., C.A. Salm and M. Schuppli.2011.“Price Discovery and Investor Structure in Stock Index Futures”. Journal of Futures Markets, 31(3), 282~306. [13]Chakravarty, Sugato, H. Gulen and S. Mayhew.2004.“Informed Trading in Stock and Option Markets”. Journal of Finance ,59 (3):1235~1258. [14]Fleming, Jeff, B. Ostdiek and R. E. Whaley.1996.“Trading Costs and the Relative Rates of Price Discovery in Stock, Futures and Option Markets” .Journal of Futures Markets, 16 (4):353~387. [15]Gonzalo, J. and Granger C W.1995.“Estimation of Common Long-Memory Components in Cointegrated Systems”. Journal of Business & Economic Statistics, 13(1): 27~35. [16]Hasbrouck, Joel.1995. “One Security, Many Markets: Determining the Contributions to Price Discovery”. Journal of Finance ,50 (4):1175~1199. [17]Hsieh, Wen-liang Gideon.2004.“Regulatory Changes and Information Competition: the Case of Taiwan Index Futures”. Journal of Futures Markets, 24 (4):399~412. [18]Kawaller, I. G., Koch P. D. and Koch T. W.1987,“The Temporal Price Relationship between S&P 500 Futures and the S\&P 500 Index”.The Journal of Finance 42(5):1309~1329. [19]Kim, M., Szakmary, AC. and Schwarz TV.1999. “Trading Costs and Price Discovery across Stock Index Futures and Cash Markets”. Journal of Futures Markets, 19 (4):475~498. [20]Kleidon, Allan W., and R. E. Whaley. 1992. “One Market? Stocks, Futures, and Options During October 1987” .Journal of Finance ,47 (3):851~877. [21]Koenker, Roger and G. Bassett.1978. “Regression Quantiles”. Econometrica,46 (1):33~50. [22]Kurov, A. and Lasser, D. J.2004.“Price Dynamics in the Regular and E-Mini Futures Markets”. Journal of Financial & Quantitative Analysis, 39(2):365~384. [23]Miao, H., Ramchander, S., Wang, T., and Yang, D. 2017.“Role of Index Futures on China's Stock Markets: Evidence from Price Discovery and Volatility Spillover”. Pacific-Basin Finance Journal, 44:13~26. [24]Wang, D., Tu, J., Chang, X. and Li, S.2017.“The Lead–lag Relationship between the Spot and Futures Markets in China”. Quantitative Finance, 17(9): 1447~1456. [25]Yang, J., Yang Z. and Zhou Y. 2012.“Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China”. Journal of Futures Markets, 32 (2):99~121.
