Influence of the CSI 300 Stock Index Futures on the Iiquidity of the Stock Market of China-Analysis Based on the PSM and DID Method

DOI

10.2991/mmetss-16.2017.25How to use a DOI?

Keywords

CSI 300 stock index futures, liquidity, propensity score matching method, difference in difference estimation method.

Abstract

This paper used the data of Chinese A share market from 2009 to 2004.The propensity score matching method was used to match the index stocks with non-index stocks, then this two group of samples were studied with difference in difference model to explore the changes of liquidity of stock market since the launch of CSI 300 stock index futures. The results show that:the CSI 300 stock index futures trading generated capital crowding out effect on the spot market,which resulted in the significant reduction of both index stocks and non-index stocks' liquidity; due to the correlation with index futures in hedging, the index stocks suffered less influence than non-index stocks, and the liquidity gap between this two kinds of stocks showed an enlarging trend.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jinzhou Zhao
AU  - Yongbo Wang
PY  - 2017/02
DA  - 2017/02
TI  - Influence of the CSI 300 Stock Index Futures on the Iiquidity of the Stock Market of China-Analysis Based on the PSM and DID Method
BT  - Proceedings of the 2016 International Conference on Modern Management, Education Technology, and Social Science (MMETSS 2016)
PB  - Atlantis Press
SP  - 133
EP  - 140
SN  - 2352-5398
UR  - https://doi.org/10.2991/mmetss-16.2017.25
DO  - 10.2991/mmetss-16.2017.25
ID  - Zhao2017/02
ER  -