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="tab8"><tr><td><table class="table"><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr class="thead"><td class="align_center" colspan="3">Percentage of investors (%)</td><td class="align_center" colspan="3">Number of investors (persons)</td></tr><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr><td class="align_left">Speculators</td><td class="align_center">Hedgers</td><td class="align_center">Arbitrageurs</td><td class="align_center">Speculators</td><td class="align_center">Hedgers<sup>1</sup></td><td class="align_center">Arbitrageurs</td></tr><tr><td class="align_left">44</td><td class="align_center">42</td><td class="align_center">14</td><td class="align_center">2,200</td><td class="align_center">2,100 (0.637)</td><td class="align_center">700</td></tr><tr class="table-tr"><td colspan="6"><hr class="tbody-hr"/></td></tr></table></td></tr><tr class="table-fn"><td><div><sup>1</sup>When the fundamental beliefs of spot investors are higher than a certain threshold, they engage in simultaneous futures hedging transactions. Therefore, the number of people engaging in futures hedging transactions has a one-to-one relationship with this threshold. In our paper, we first present the number of hedgers and then obtain the threshold value by inverse extrapolation from simulation experiments.<br/></div></td></tr></table>

<div>Design of the investor structure of the stock index futures model.</div>

Complexity

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Table 8

Table 8: The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades 