Analyzing the impact of stock index futures%26apos;trading limits on market quality during abnormal fluctuations in the spot market

作者：Ding Yijun; Feng Yun

来源：Systems Engineering-Theory & Practice, 2017, 37(10): 2481-2496.

DOI：10.12011/1000-6788(2017)10-2481-16

• Abnormal fluctuations
• Computational simulation
• Market simulation
• Market structures
• Spot market
• Stock index futures
• Trading limit
• Trading platform

We develop a cross-market simulation trading platform of stock and stock index futures based on investors%26apos;behavior, and propose an evaluation system during abnormal fluctuations. We analyze the impact of stock index futures%26apos;trading limits on market quality as well as the effectiveness on different market structure, where we find that strict trading limits are effective in short term, while barely effective in long term. In addition, the impact of trading limits in a less-leveraged market is the best in short term. However, proper amount of speculation and arbitrage activities may offset the impact of trading limits in long term, which provides liquidity necessary for the market. Thus, trading limits of stock index futures during abnormal fluctuations in the spot market should be temporary and must restore the original rules when market stabilized.%26lt;br/%26gt;

• 出版日期2017
• 单位上海交通大学