Spatial linkages of positive feedback trading among the stock index futures markets

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-11-15 DOI:10.1016/j.najef.2024.102315

Shuxi Tian , Shuyi Liu , Lijie Mu

引用次数: 0

Abstract

Positive feedback trading, a destabilizing sentiment-driven strategy, executes purchases after price upswings and vice versa, driving price away from economic fundamentals in the short term. We apply spatial econometric approach to investigate the linkages of positive feedback trading among the stock index futures markets of 27 countries from 2010 to 2023, and the empirical results reveal that there exist not only significant local effects but also strong spatial spillovers in positive feedback trading among these markets. Moreover, we find that the spatial linkages of positive feedback trading are stronger in an upward trend when market volatility exceeds 2 % but more pronounced in the downward trend when the market volatility exceeds 4 %. Overall, our empirical findings are of considerable concern for global investors who use index futures to hedge or exploit arbitrage opportunities, as well as inspiring for policymakers to manage financial derivatives trading risk.

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股指期货市场间正反馈交易的空间联系

正反馈交易是一种破坏稳定的情绪驱动策略，在价格上涨后进行购买，反之亦然，在短期内使价格偏离经济基本面。我们运用空间计量经济学方法研究了 2010 年至 2023 年 27 个国家股指期货市场之间正反馈交易的联系，实证结果表明，这些市场之间的正反馈交易不仅存在显著的局部效应，而且存在很强的空间溢出效应。此外，我们还发现，当市场波动率超过 2% 时，正反馈交易的空间联系在上升趋势中更为强烈，而当市场波动率超过 4% 时，正反馈交易的空间联系在下降趋势中更为明显。总体而言，我们的实证研究结果对于利用股指期货套期保值或利用套利机会的全球投资者来说相当值得关注，对于政策制定者管理金融衍生品交易风险也有启发意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.