Futures trading volume as a determinant of prices in different momentum phases

Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to stock prices that dominates trading volume effects. We also observe asymmetric changes in the impact of trading volume between bull and bear price momentum phases and after large trading volume shocks. These results suggest that, in future, studies on trading volume should control for the cross-correlation impact from derivative prices and the differential impact of trading phases.     

Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets

We propose new tests to examine whether stock index futures affect stock market volatility. These tests decompose spot portfolio volatility into the cross-sectional dispersion and the average volatility of returns on the portfolio's constituent securities. Our tests show that for Nikkei stocks spot portfolio volatility increased and cross-sectional dispersion decreased compared with average volatility when Nikkei futures began trading on the Osaka Securities Exchange, but not on the Singapore International Monetary Exchange. For non-Nikkei stocks, no shift occurred when futures trading began on either exchange. These findings are consistent with the hypotheses that futures trading increases spot portfolio volatility but that there is no volatility “spillover” to stocks against which futures are not traded. However, the increase in volatility attributable to futures trading is small compared with volatility shifts induced by changes in broad economic factors.     

Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of Mid Cap 400 Index Futures

The MidCap 400 stock index is used to provide new evidence on the relation between stock index futures trading and stock return volatility. The study documents a significant decrease in return volatility and systematic risk, and a significant increase in trading volume for the MidCap 400 stocks after the introduction of the MidCap index. A control sample of medium-capitalization stocks, however, exhibits similar contemporaneous changes in these measures. The MidCap stocks and the control stocks also experience a significant decrease in volatility and an increase in volume after the introduction of MidCap 400 index futures. Thus, the study finds no difference in the behavior of the MidCap 400 stocks and the control stocks and no evidence of a relation between index futures trading and volatility in the stock market.     

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

本文利用2015年中国股市大幅下跌期间,对股指期货严格限制交易政策这一独特事件前后的高频数据,研究限制交易政策对股指期货与股票市场价格引导关系的影响。利用I-S模型和分位数回归方法的实证结果表明:限制交易政策实施前,股指期货对股票市场的价格影响更强,尤其表现在价格急剧下跌时期;限制交易政策显著增加了期货市场交易成本,从而降低了期货市场的信息份额,削弱了其对股票市场的价格影响,并且改变了期货价格对现货价格“助跌强于助涨”的影响模式,增强了股指期货在价格上涨时对股票市场的影响。研究结果一方面直接量化了期货交易成本变动对其价格发现功能的负面影响,另一方面也从价格引导关系的视角提供了股市危机时期股指期货限制交易政策监管效果的实证证据。     

证券、期货犯罪防范体系构建探析——以股指期货交易为切入点

股指期货是连接证券市场和期货市场的纽带,为证券市场提供了有效的避险工具。通过对股指期货犯罪行为的分析,笔者认为,操纵股指期货的行为必须纳入刑法规制范畴,同时还应当警惕并防范股指期货挂牌交易后因设计缺陷所产生的"新型老鼠仓"行为。并且单独罪名无法有效防止犯罪行为发生,应当建立综合性证券、期货犯罪防范体系。     

股指期货创新中的投资者保护探讨

股指期货的推出,在交易机制和违规行为等方面,均对投资者产生了一定影响,因此股指期货创新中的投资者保护应成为其应有之义。本文认为股指期货在杠杆交易、双向交易和到期日制度方面会对投资者造成一定影响;另外在信息敏感性和跨市场联动性等方面也会对投资者造成影响。当前股指期货市场对投资者保护主要从投资者适当性,风险揭示和保护基金三方面着力,有待扩展和深化。本文在借鉴美国、日本、香港等成熟股指期货市场投资者保护立法及实践的基础上,提出了完善我国股指期货投资者保护的一些建议。     

The maturity effect of stock index futures: Speculation or carry arbitrage?

Using the implementation of trading restrictions on CSI 300 index futures market as a quasi-natural experiment, this paper examines the maturity effect of stock index futures and its determinants. The results show that the maturity effect changes from weakly positive to significantly negative after trading restrictions are implemented. We find that the change in the maturity effect is rooted in the speculative effect, which is measured by the time pattern of price sensitivity to information, while there is a lack of support for the carry arbitrage effect on the maturity effect of index futures. Our findings provide an opportunity to better understand volatility dynamics in the equity futures market.     

The effects of newly listed derivatives in a thin stock market

This study examines the informational feedback effects associated to the listing and trading of derivatives in Switzerland. The observed changes in the price and higher moments of stock returns are representative of a thin stock market. The listing of stock options and index futures generated positive abnormal returns for large stocks and for the index while small stocks essentially benefited from the launching of index options. While reducing the variance of blue chips and of the index, their variance's stochasticity increased (decreased) at index options' (futures) listings. Finally, we detect significant stock and index derivatives' price leads which do not however generate arbitrage opportunities.     

Feedback trading in stock index futures: Evidence from South Africa

This study tests whether investors and speculators in stock index futures contracts on the South African stock market use feedback trading strategies. Feedback trading can be destabilizing and impede on the risk mitigation and price discovery functions of futures contracts. Using the Sentana and Wadhwani (1992) model, and accounting for the global financial crisis, we find no evidence of feedback trading in the Top40 futures index or the Top40 mini futures index contracts. Our findings have important implications for investors who wish to use index futures to mitigate risk or exploit arbitrage opportunities and regulators concerned about the destabilizing effects of futures trading.     

模糊厌恶下股指期货风险对冲策略设计及实证分析

投资者对股指期货与现货有着不同的模糊厌恶,本文首先将此假设条件引入带交易成本的Garleanu and Pederson (2013)投资模型中,并以指数基金对冲策略为例,构建了一个股指期货动态对冲的理论模型。与非对冲策略相比,基于上述模型设计的对冲策略投资绩效更好,动态最优成交额占目标交易额的比例更小,目标成交额对收益率预测因子的敏感性更大。借助上述模型,本文选取2010年4月至2021年6月的中国ETF指数基金和股指期货数据,并以2015年9月股指期货管理措施实施为界进行区间划分,实证研究发现:(1)中国A股市场的ETF投资组合进行股指期货对冲显著提升了投资绩效,但股指期货管理会削弱该作用;(2)投资绩效改善主要来源于交易成本的下降与目标成交额因子敏感性的提升,该机制受到股指期货管理的约束;(3)与Garleanu and Pederson (2013)、Zhang et al. (2017)相比,本文对冲策略保留“抗跌”特点的同时增加了“易涨”特性。本文研究结果表明,在当前大力发展机构投资者的背景下应不断丰富股指期货、股指期权产品谱系,降低股指期货交易成本并完善持仓约束。     

The October 1987 S&P 500 Stock-Futures Basis

Five-minute changes in the S&P 500 index and futures contract are examined over a ten-day period surrounding the October 1987 stock market crash. Since nonsynchronous trading problems are severe in these data, new index estimators are derived and used. The estimators use the complete transaction history of all 500 stocks. Nonsynchronous trading explains part of the large absolute futures-cash basis observed during the crash. The remainder may be due to disintegration of the two markets. Even after adjustment for nonsynchronous trading, the index displays more autocorrelation than does the futures and the futures leads the index.     

股指期货与股票现货市场竞争关系研究——来自中国的经验证据

本文利用模拟生态学中种群间动态关系的Lotka-Volterra模型,对沪深300股指期货同股票现货市场在交易规模方面的竞争关系进行实证分析。研究结果表明,沪深300股指期货推出初期,股指期货市场与股票现货市场在交易规模方面存在竞争性的交易转移效应;随着股指期货市场相关规则的不断健全和完善,股指期货市场与股票现货市场在交易规模方面由竞争关系转变为共存关系,出现交易引资效应。同时,研究还发现,股指期货市场与股票现货市场之间关系由竞争性转变为共存性的重要原因是股指期货市场监管力度的加大,股指期货市场投资者结构的优化,以及股指期货市场期现套利交易的盛行。     

Price Discovery Between Informationally Linked Markets During Different Trading Phases

The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks. Results support the hypothesis that the nature of the price-discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price-sensitive fundamental information. We argue that in bull phases, futures trading becomes increasingly associated with noninformation trading such as realizing paper profits, portfolio rebalancing, and increased noise trading.     

全球股指期货与期权市场的发展动向及启示

本文通过对近年来全球股指期货及期权场内交易发展态势及动向分析,指出全球股指期货及期权呈现出交易量稳居各类产品之首、交易高度集中于几家交易所的几种产品、中国概念股指备受关注、创新步伐不断加快等四大趋势,启示我们适时推出股指期货,研究股指期权,不但可以拓展期货市场发展空间,推动境内资本市场的健康发展,建立完善的股指市场体系,而且是股票类衍生品创新的基础。     

Sequential information arrival in the Finnish stock index derivatives markets

This paper investigates the hypothesis of sequential information arrival in the Finnish stock index futures and options markets. With no short selling restrictions in the derivatives markets, no causality relationships between returns and trading volume are observed. However, by using the so-called call-put signal, based on call and put volumes, causality between returns and volume is found supporting the hypothesis of sequential information arrival. In addition, it is discovered that the increased volume in stock index options relative to index futures has significantly increased their importance in the intermarket price discovery process.     

Single stock futures: Listing selection and trading volume

On November 8, 2002, two new exchanges, OneChicago and NQLX, began trading single stock futures (SSFs). We study how these exchanges choose the listed products. The selection process is consistent with the objective of maximizing the market opening success. The estimated probability of listing is a good predictor of the single stock futures' post-listing success, as measured by their trading volume in the first year.     

股指期货市场操纵与价格发现功能的关系研究

股指期货市场操纵会影响股指期货市场的价格发现功能,同样地,股指期货市场的价格发现功能也会影响股指期货市场的操纵行为。本文在理论探讨的基础上,利用股指期货主力合约及对应的沪深300指数高频数据对市场操纵行为进行实证分析。研究结果表明,当操纵嫌疑只存在于期货市场时,股指期货市场的价格发现功能将会减弱;当操纵嫌疑存在于期货、现货两个市场时,股指期货市场的价格发现功能相对会增强。而且,当股指期货市场价格发现功能较强时,市场操纵的难度和成本都将下降。当前中国股指期货市场的操纵行为可能主要局限于某些个别的、离散的交易日内,系统地通过操纵现货指数来操纵期货市场的可能性较低。     

Circuit Breakers,Trading Collars,and Volatility Transmission Across Markets: Evidence from NYSE Rule 80A

The NYSE's Rule 80A attempted to delink the futures and equity markets by limiting index arbitrage trades in the same direction as the last trade to reduce stock market volatility. Rule 80A leads to a small but statistically significant decline in intraday U.S. equity market volatility. In addition, the results are asymmetric: volatility is dampened more in a rising market than in a declining one. These results suggest that, to a limited extent, rule restrictions on trading can sufficiently delink the futures and equity markets enough to reduce the transmission of volatility.     

中国股指期货合约乘数水平的研究

中国沪深500股指期货已经推出,其合约设计的合理与适用性则需要通过市场的实践来验证,在这其中,对合约乘数水平的检验至关重要,因为它与标的指数点住共同构成了合约的价值,进而直接影响到股指期货市场的稳定性。本文采用中国股指期贷合约推出后的真实交易数据、根据期货交易的一种风险控制理论“2N止损法”来测算投资者账户资产净值与头寸规模的绝对值,以此推导出现行合约乘数水平对投资者价格风险的影响程度,得出当前500元的合约乘数水平偏高的结论;并在此基础上,通过对中国股指期货市场的数据统计分析来检验以上结论,论证当前合约乘数水平的适用性,最后建议适当调整中国沪深500股指期货合约乘数的水平或尽快推出相应的小型合约。     

我国股指期货与股票交易的关联性分析

股指期货上市交易后对股票现货市场波动性的影响取决于届时股票现货市场的估值水平,其交易过程和结果也将改变市场投资主体结构及参与程度,形成交易主体多元化的格局。同时,我国股票现货市场对股指期货的交易也存在着反约束.