Restrictions on Short‐Selling and Spot‐Futures Dynamics
利用香港取消卖空限制的自然实验，研究发现取消限制后现货与期货价格更紧密整合，长期均衡调整更多通过期货完成，但现货在领先滞后关系中的作用增强。
Recent lifting of short‐sales constraints in Hong Kong provides an important opportunity to examine whether such restrictions affect the dynamic relationship between index futures and its underlying spot. The results show that the two prices have become more closely integrated without the restrictions. Adjustments to long‐run equilibrium are accomplished more through index futures; however, the spot index has played an increasingly more important role in the lead‐lag relationship after the deregulation. Market conditions, spot trading volumes, relative futures trading volumes and institutional participation also affect the dynamic relationship.