1、1658 单词， 9770 英文字符， 2900 汉字 出处： Bohl M T, Salm C A, Schuppli M. Price discovery and investor structure in stock index futuresJ. Journal of Futures Markets, 2011, 31(3):282306. PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES MARTIN T. BOHL， CHRISTIAN A. SALM， MICHAEL SCHUPPLI Previous l
2、iterature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time-varying spotfutures linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures market over time. Empirical results
3、suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as inst
4、itutional investors share in trading volume increases. We derive implications for the design of emerging futures markets 2010 Wiley Periodicals, Inc. JrlFut Mark INTRODUCTION Since the introduction of stock index futures trading, extensive research has been devoted to the question of whether index f
5、utures trading contributes to the efficiency of the underlying stock markets in terms of price discovery. Under frictionless markets, new information should be impounded simultaneously in futures and spot prices. In reality, however, futures markets are likely to incorporate market-wide information
6、more efficiently than spot markets because of their inherent leverage, low transaction costs, and a lack of shortsale restrictions. A large body of literature looking at mature futures markets has confirmed that stock index futures typically lead the cash market, implying that a large part of price
7、discovery takes place in the futures market, e.g. in the US Chou & Chung, 2006； Hasbrouck, 2003； Koutmos& Tucker, 1996； Pizzi, Economopoulos, & ONeill, 1998； Stoll & Whaley, 1990； Wahab&Lashgari, 1993, the UK Tse, 1999； Brooks, Rew, &Ritson, 2001, Japan Covrig, Ding, & Low, 2004； Iihara, Kato, & Tok
8、unaga, 1996, or Germany Booth, So, &Tse, 1999； Gaul &Theissen, 2008. It is important to notice that the futures markets investigated in the literature so far are rather homogeneous in terms of their investor structure. Historically, the inception of futures trading in developed financial markets coi
9、ncided with the rise of institutional ownership in the early 1980s Thus, futures markets under investigation in previous literature are typically dominated by institutional investors. In the finance literature, institutions are usually presumed to be well-informed, rational investors, whereas indivi
10、duals are viewed as uninformed or driven by sentiment and behavioral biases. A large body of empirical literature on institutional and individual trading supports this view. Because of limited information processing capacity, individuals seem to pick stocks based on attention-grabbing events Barber
11、&Odean, 2008； Seasholes& Wu, 2007. Furthermore, individual investors are prone to behavioral biases. For instance, they may exhibit disposition effects and overconfidence Dhar& Zhu, 2006； Kim &Nofsinger, 2007； Odean, 1998. Because their decisions are sentiment-driven, individuals act as “dumb money”
12、 when investing in mutual funds Frazzini& Lamont, 2008 or buy stocks that subsequently underperform Hvidkjaer, 2008. Accordingly, they lose from trading with more sophisticated institutional investors Barber, Lee, Liu, &Odean, 2009； Grinblatt&Keloharju, 2000. Consistent with the notion that institut
13、ions are better informed than individuals, Nofsinger and Sias 1999 find a positive relation between increases in institutional ownership and subsequent returns. In the same vein, a number of studies find higher information content for institutional compared to individual investors trades Ahn, Kang,
14、&Ryu, 2008； Boehmer, Jones, & Zhang, 2008； Chakravarty, 2001. While the empirical literature also documents institutional herding and trend-chasing e.g. Badrinath&Wahal, 2002； Nofsinger&Sias, 1999； Sias, 2004, there are rational explanations for such behavior. Feedback trading or herding may result
15、from rational jumping on the bandwagon with noise traders De Long, Shleifer, Summers, &Waldmann, 1990 or inferring information from other traders actions in informational cascades Bikhchandani, Hirshleifer, & Welch, 1992； Sias, 2004. In summary, empirical evidence on the characteristics of both inve
16、stor groups suggests that institutional investors are rational and better informed than individuals. In the light of these findings, we ask whether the long-standing evidence of price discovery in futures markets is robust with respect to the investor structure. More specifically, we investigate whe
17、ther the dominance of presumably unsophisticated individual investors in the futures market impairs the informational contribution of futures trading. If unsophisticated investors trade in a market, this may reduce the quality of the price signal and lower the information content of prices. In this
18、setting, it is possible that the futures market may not perform its price discovery function. The importance of different groups of investors in explaining patterns in asset prices and returns has long been recognized in various areas of financial research. For instance, Boehmer and Kelley 2009 show
19、 that the informational efficiency of transaction prices of individual NYSE-listed stocks increases with institutional ownership. Moreover, previous literature relates seasonalities in daily stock returns to the trading behavior of individual versus institutional investors Chan, Leung, & Wang, 2004；
20、 Lakonishok&Maberly, 1990. Contributions by Gompers and Metrick 2001 and Phalippou 2008 highlight the role of institutional ownership in explaining cross-sectional return anomalies like the size and value effects. Although recent literature on futures trading has noted peculiarities in emerging mark
21、ets related to investor structure and behavioral biases McMillan &kl, 2009, the price discovery dimension of this problem has been neglected so far. We investigate this issue in the case of the Polish WIG20 index futures market, which offers a unique investor structure. While foreign and domestic in
22、stitutional investors constantly account for about two thirds of spot trading volume, the futures market is dominated by domestic private individuals. These supposedly unsophisticated investors accounted for 75?80% of annual futures trading volume between 1998 and 2004. However, a change in mutual f
23、und regulation in the fall of 2004 triggered a considerable increase in institutional stock index futures trading, causing the share of individual investors to decline to 53% by 2008. This shift in the investor structure of futures markets allows us to relate empirical evidence on price discovery to
24、 the changing market shares of different investor groups Our empirical investigation uses a vector error correction model with a multivariate DCC-GARCH extension VECM-DCC-GARCH. This setup allows us to jointly analyze lead?lag relationships in returns, volatility transmission, and conditional correl
25、ation between the two markets. We find that under the dominance of presumably unsophisticated individual investors in the futures market, price discovery occurs mainly in the spot market, which is dominated by foreign and domestic institutional investors. By contrast, the growing influence of instit
26、utional investors on the futures market in the later period coincides with intensified information flows from futures to cash prices in terms of error correction and volatility spillovers. Moreover, the level of conditional correlation between futures and spot returns is significantly higher after t
27、he rise in institutional trading. These findings are of interest for regulators in emerging markets, who face the decision of whether or not to introduce stock index futures. Our results indicate that efficiency gains expected from futures trading critically hinge on the sophistication of market participants. Allowing informed institutional investors to trade futures contracts may improve the quality of the price signal emerging from this market. This will allow futures trading to perform the desired price discovery function.
