The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades

Table 12

Impact of futures and cash arbitrageurs on spot market liquidity and volatility.

Liquidity ($)				Volatility (bps)
Numbers	Stock	Stock	Stock	Stock	Stock	Stock	Index
0	111,097,579	95,454,864	110,967,226	42	47	62	32
500	111,239,784	94,649,690	107,848,768	41	47	62	32
1,000	110,102,254	93,648,873	106,502,589	39	46	60	31
2,000	104,892,338	91,866,062	105,252,790	35	42	58	29
3,000	101,004,576	88,170,781	105,128,544	33	39	56	28