资金限制、金融危机以及期货和现货市场之间的价格发现

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2023-11-03 DOI:10.1111/eufm.12464

Yi-Wen Chen, Junmao Chiu, Robin K. Chou, Chu-Bin Lin

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引用次数: 0

摘要

我们研究了资金限制和金融危机对现货市场和期货市场定价动态的影响。更严格的资金限制和金融危机的存在阻碍了知情投资者在期货市场上利用其信息优势，从而降低了期货价格的主导作用和信息份额。资金限制对期货市场的知情交易和大额交易的概率产生负面影响。我们的研究结果与最近的理论观点一致，即这两个因素都会对知情交易、跨市场价格发现过程和金融稳定产生重大影响。

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Funding constraints, financial crisis, and price discovery between the futures and spot markets

We investigate the effect of funding constraints and the financial crisis on the pricing dynamics between the spot and futures markets. Tighter funding constraints and the presence of a financial crisis deter informed investors from utilizing their informational advantage in the futures market, reducing the leading role and information shares of futures prices. Funding constraints negatively affect the probability of informed trading and large trading in the futures markets. Our findings are in line with the recent theoretical perspective that indicates both factors significantly affect informed trading, the cross-market process of price discovery, and financial stability.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.