This study examines the impact of short-selling restrictions on futures mispricing (relative to various benchmarks) in the market for CSI 300 index futures. In mid-2015, Chinese regulators imposed a new short-selling restriction in an attempt to curb excessive stock market volatility. Results...

This study examines the impact of message traffic restrictions on the relative pricing efficiency of futures market. In particular, this paper investigates the return correlation between index futures contracts and Exchange-Traded Funds (ETFs) against the implementation of two message traffic...

This paper examines liquidity in the China stock market around the introduction of the CSI 300 Index Futures contract. Two competing hypotheses are tested. Liquidity of constituents stocks in the underlying index may worsen as passive and uninformed investors migrate to the futures market. On...