国际化：商品期货市场扩张对市场质量的影响

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-09-20 DOI:10.1016/j.pacfin.2025.102934

Vivek Rajvanshi , Gouri Sankar Sahoo , Avijit Bansal

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引用次数: 0

摘要

我们研究了印度证券交易委员会（SEBI） 2022年9月对市场质量的影响，该监管允许外国投资组合投资者（fpi）参与选定的商品期货合约。我们分析了印度领先的商品衍生品交易所——多商品交易所（MCX）交易的所有活跃商品期货合约。在这个自然实验中，我们采用了差异中的差异方法，发现监管后的商品期货流动性显著增加，对波动性没有不利影响。在控制了滞后量、合约价值、到期日和现货波动后，结果是稳健的。此外，几项安慰剂试验证实了我们研究结果的稳健性。

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Internationalization: The impact of commodity futures market expansion on market quality

We examine the impact of the Securities and Exchange Board of India’s (SEBI) September 2022 regulation on market quality that allowed Foreign Portfolio Investors (FPIs) to participate in selected commodity futures contracts. We analyze all active commodity futures contracts traded at the Multi Commodity Exchange (MCX), the leading commodity derivatives exchange in India. In this natural experiment, we implement a difference-in-differences approach and find that post-regulation liquidity in commodity futures increases significantly, with no adverse impact on volatility. The results are robust after controlling for lagged volume, contract value, time to maturity, and spot volatility. Furthermore, several placebo tests confirm the robustness of our findings.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.