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

<table class="table-group" id="tab17"><tr><td><table class="table"><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr class="thead"><td class="align_left"> </td><td class="align_center"> </td><td class="align_center">Liquidity ($)</td><td class="align_center">Volatility (bps)</td><td class="align_center">Price efficiency</td></tr><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr><td class="align_left">Speculators</td><td class="align_center">Stock index futures market</td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M191" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M192" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M193" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td></tr><tr><td class="align_left" rowspan="2">Arbitrageurs</td><td class="align_center">Stock market</td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M194" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M195" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M196" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td></tr><tr><td class="align_center">Stock index futures market</td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M197" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M198" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M199" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td></tr><tr><td class="align_left" rowspan="2">Hedgers</td><td class="align_center">Stock market</td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M200" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M201" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M202" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td></tr><tr><td class="align_center">Stock index futures market</td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M203" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H52V230H535Z"></path></g></svg></span></td><td class="align_center"><span style="width: 5.47571ptpx;"><svg height="11.439pt" id="M204" style="vertical-align:-2.15067pt" version="1.1" viewbox="-0.0498162 -9.28833 5.47571 11.439" width="5.47571pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M368 703H309L44 -163H104L368 703Z"></path></g></svg></span></td><td class="align_center"><span style="width: 7.75925ptpx;"><svg height="7.35473pt" id="M205" style="vertical-align:-0.3499303pt" version="1.1" viewbox="-0.0498162 -7.0048 7.75925 7.35473" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M535 230V280H323V490H265V280H52V230H265V-3H323V230H535Z"></path></g></svg></span></td></tr><tr class="table-tr"><td colspan="5"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Impact of different types of investors on the quality of the futures and cash markets.</div>

Complexity

tab17

Table 17

Table 17: The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades 