IDEAS home Printed from https://ideas.repec.org/a/ibn/ijbmjn/v13y2018i5p147.html
   My bibliography  Save this article

The Impact of Stock Index Futures on the Information Environment of Listed Firm: Evidence from Chinese Listed Firms

Author

Listed:
  • Yinglin Wan

Abstract

We investigate the impact of stock index futures on the information environment of listed firms through the launch of Shanghai-Shenzhen 300 stock index futures (CSI 300 index) as natural experiment on April 16, 2010. We employ difference in difference analysis and apply the PIN indicator (the probability of informed trading) to measure information asymmetry. We found that the CSI 300 index significantly reduce the information asymmetry of CSI 300 companies. For the companies with higher market capitalization, higher turnover rate and higher institutional investor’s rate, the impact of stock index future on the corporate information environment is more significant. The results of this paper provide new evidence for evaluating the impacts of Chinese stock index futures.

Suggested Citation

  • Yinglin Wan, 2018. "The Impact of Stock Index Futures on the Information Environment of Listed Firm: Evidence from Chinese Listed Firms," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(5), pages 147-147, March.
    • Handle: RePEc:ibn:ijbmjn:v:13:y:2018:i:5:p:147
    as

    Download full text from publisher

    File URL: http://www.ccsenet.org/journal/index.php/ijbm/article/download/73580/41269
    Download Restriction: no
    File URL: http://www.ccsenet.org/journal/index.php/ijbm/article/view/73580
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kon, Stanley J, 1984. "Models of Stock Returns-A Comparison," Journal of Finance, American Finance Association, vol. 39(1), pages 147-165, March.
    2. Randall Morck & Bernard Yeung & Wayne Yu, 1999. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?," Harvard Institute of Economic Research Working Papers 1879, Harvard - Institute of Economic Research.
    3. Allen, Franklin & Gale, Douglas, 1991. "Arbitrage, Short Sales, and Financial Innovation," Econometrica, Econometric Society, vol. 59(4), pages 1041-1068, July.
    4. Keim, Donald B. & Madhavan, Ananth, 1995. "Anatomy of the trading process Empirical evidence on the behavior of institutional traders," Journal of Financial Economics, Elsevier, vol. 37(3), pages 371-398, March.
    5. Antonio E. Bernardo & Ivo Welch, 2004. "Liquidity and Financial Market Runs," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 135-158.
    6. Charoenrook, Anchada & Daouk, Hazem, 2009. "A Study of Market-Wide Short-Selling Restrictions," Working Papers 51180, Cornell University, Department of Applied Economics and Management.
    7. Orley Ashenfelter & David E. Card, 1984. "Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs," Working Papers 554, Princeton University, Department of Economics, Industrial Relations Section..
    8. Eric C. Chang & Joseph W. Cheng & Yinghui Yu, 2007. "Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market," Journal of Finance, American Finance Association, vol. 62(5), pages 2097-2121, October.
    9. Ashenfelter, Orley & Card, David, 1985. "Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 648-660, November.
    10. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    11. Li Jin & Stewart C. Myers, 2004. "R-Squared Around the World: New Theory and New Tests," NBER Working Papers 10453, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael & Yu, Yinghui, 2012. "Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 506-520.
    2. Yeh, Jin-Huei & Chen, Lien-Chuan, 2014. "Stabilizing the market with short sale constraint? New evidence from price jump activities," Finance Research Letters, Elsevier, vol. 11(3), pages 238-246.
    3. Nathalie Oriol & Iryna Veryzhenko, 2015. "Market Structure or Traders' Behaviour? An Assessment of Flash Crash Phenomena and their Regulation based on a Multi-agent Simulation," GREDEG Working Papers 2015-16, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    4. Marsh, Ian W. & Payne, Richard, 2012. "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1975-1986.
    5. Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013. "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 53-71.
    6. John M. Griffin & Federico Nardari & René M. Stulz, 2007. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 905-951.
    7. Deng, Xiaohu & Gao, Lei & Kim, Jeong-Bon, 2020. "Short-sale constraints and stock price crash risk: Causal evidence from a natural experiment," Journal of Corporate Finance, Elsevier, vol. 60(C).
    8. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    9. Larry Su & Elmina Homapour & Francisco Chiclana, 2022. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets," Mathematics, MDPI, vol. 10(17), pages 1-21, September.
    10. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    11. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Quantitative Finance, Taylor & Francis Journals, vol. 19(7), pages 1075-1092, July.
    12. Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
    13. Angrisani, Marco & Atella, Vincenzo & Brunetti, Marianna, 2018. "Public health insurance and household portfolio Choices: Unravelling financial “Side Effects” of Medicare," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 198-212.
    14. Beestermöller, Matthias, 2017. "Striking Evidence? Demand Persistence for Inter-City Buses from German Railway Strikes," Discussion Papers in Economics 31768, University of Munich, Department of Economics.
    15. David Card, 2022. "Design-Based Research in Empirical Microeconomics," Working Papers 654, Princeton University, Department of Economics, Industrial Relations Section..
    16. James J. Heckman, 1991. "Randomization and Social Policy Evaluation Revisited," NBER Technical Working Papers 0107, National Bureau of Economic Research, Inc.
    17. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    18. Jean‐Louis Combes & Xavier Debrun & Alexandru Minea & René Tapsoba, 2018. "Inflation Targeting, Fiscal Rules and the Policy Mix: Cross‐effects and Interactions," Economic Journal, Royal Economic Society, vol. 128(615), pages 2755-2784, November.
    19. Brian Du & Alejandro Serrano & Andre C. Vianna, 2024. "Are stock and option trades substitutes or complements? evidence from the 2008 short-sale ban," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(1), pages 166-185, March.
    20. Lina Schollin Ask & Can Liu & Karl Gauffin & Anders Hjern, 2019. "The Effect of Rotavirus Vaccine on Socioeconomic Differentials of Paediatric Care Due to Gastroenteritis in Swedish Infants," IJERPH, MDPI, vol. 16(7), pages 1-10, March.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijbmjn:v:13:y:2018:i:5:p:147. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.