Using a difference-in-difference approach, we find that restrictions placed on CSI 300 and CSI 500 index futures trading during the recent Chinese stock market crisis deteriorated spot market quality. This is more so for the September trade restriction. Our results can be explained by the sudden...

A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...