股指期货交易限制对A股现货市场流动性的影响

摘要

This paper estimates the impact of a series of trading restrictions adopted by CFFE in 2015 on Ashare market liquidity We propose a pair of new liquidity measures based on high-frequency data that are applicable under the price-limit system.Applying Difference-in-Difference analysis,we find that the liquidity of stock index component stocks decreased significantly after the implementation of trading restrictions compared with non-component stocks.%研究中金所于2015年8月25日至9月7日出台的一系列股指期货交易限制对A股现货市场流动性的影响.定义一套在涨跌停板制度下依然适用的高频流动性指标,应用双重差分模型,发现相对于非成分股,股指期货成分股流动性在限制措施实施后显著下降.