上海管理科学2017，Vol.39Issue(5)：28-33,6.
股指期货交易限制对A股现货市场流动性的影响
The Impact of Stock Index Futures Trading Restrictions on A-share Market Liquidity
蒋进进 1钱军辉1
作者信息
- 1. 上海交通大学安泰经济与管理学院,上海200030
- 折叠
摘要
Abstract
This paper estimates the impact of a series of trading restrictions adopted by CFFE in 2015 on Ashare market liquidity We propose a pair of new liquidity measures based on high-frequency data that are applicable under the price-limit system.Applying Difference-in-Difference analysis,we find that the liquidity of stock index component stocks decreased significantly after the implementation of trading restrictions compared with non-component stocks.关键词
股指期货/交易限制/买方流动性/卖方流动性Key words
stock index futures/trading restrictions/buyer liquidity/seller liquidity分类
管理科学引用本文复制引用
蒋进进,钱军辉..股指期货交易限制对A股现货市场流动性的影响[J].上海管理科学,2017,39(5):28-33,6.
