Funding constraints, financial crisis, and price discovery between the futures and spot markets
研究了融资约束和金融危机如何影响现货与期货市场的定价动态，发现两者会抑制知情交易，削弱期货价格的主导作用和信息份额。
Abstract We investigate the effect of funding constraints and the financial crisis on the pricing dynamics between the spot and futures markets. Tighter funding constraints and the presence of a financial crisis deter informed investors from utilizing their informational advantage in the futures market, reducing the leading role and information shares of futures prices. Funding constraints negatively affect the probability of informed trading and large trading in the futures markets. Our findings are in line with the recent theoretical perspective that indicates both factors significantly affect informed trading, the cross‐market process of price discovery, and financial stability.