تجارت بازخورد مثبت در شاخص معاملات آتی سهام: شواهد بین المللی

Using a simple intertemporal asset pricing model with heterogeneous agents, this paper addresses the issue of trend-chasing investor behavior in stock index futures markets. There is strong evidence of positive feedback trading in the majority of 32 emerging and mature markets. Trend-chasing appears most pronounced after price drops during periods of financial crisis. Our empirical findings are of great concern for investors who want to use index futures as an instrument to hedge risk or exploit arbitrage opportunities. They also have implications for the debate on destabilizing effects of futures trading.

The last three decades have witnessed the inception of stock index futures trading in many financial markets around the world. Stock index futures contracts not only provide an instrument to hedge risk (Anderson and Danthine, 1981, Figlewski, 1984 and Brooks et al., 2002). Due to low transaction costs, inherent leverage and the absence of short-sale restrictions, such derivatives also allow informed agents to bet on market developments without facing spot market frictions or having to buy or sell individual stocks. This gives rise to beneficial effects of futures trading in terms of price discovery and thus market efficiency (Cox, 1976, Grossman, 1977, Stoll and Whaley, December 1990 and Chan et al., 1991). Recent literature raises the issue of feedback trading in stock index futures markets (Antoniou et al., 2005, Antoniou and Koutmos, 2008 and Kurov, 2008). Positive feedback or momentum trading implies that market participants buy (sell) futures contracts in response to previous price increases (decreases). Such trading behavior is of considerable interest for rational investors who want to use futures contracts to hedge risk or trade on private information. De Long, Shleifer, Summers and Waldmann (1990) show that trend-chasing by noise traders drives prices away from fundamentals and, together with rational investors' bandwagoning, has potentially destabilizing effects on the market. Thus, by inducing noise into the price formation process, sentiment-driven trading in stock index futures markets may compromise hedging opportunities. Moreover, the presence of irrational traders may create limits to arbitrage in the sense of De Long, Shleifer, Summers and Waldmann (1990). Such noise trader risk may impede arbitrage and cause mispricings to persist over longer horizons (Brunnermeier and Nagel, 2004 and Brown and Cliff, 2005). If, for example, smart money investors sell futures contracts in order to bet on price declines, they incur the risk of positive feedback traders driving futures prices further away from fundamental values. To what extent a futures market can perform its hedging or price discovery function will therefore depend on the influence of sentiment-driven feedback traders. The issue of feedback trading in stock index futures also relates to the debate over the influence of the futures on the spot market. A large body of empirical literature investigates whether the inception of futures trading has an impact on the conditional volatility of the underlying stock index (Antoniou et al., 1998, Gulen and Mayhew, 2000 and McKenzie et al., 2001). From a theoretical point of view, the interpretation of such effects is subject to substantial controversy. On the one hand, futures trading may destabilize the underlying market by increasing stock market volatility due to the presence of uninformed investors (Cox, 1976, Cagan, 1981, Figlewski, 1981, Stein, 1987 and Hart and Kreps, 1986). Attracted by high leverage, badly informed investors induce noise in the index futures market which lowers the information content of prices and can transmit to the underlying spot market via arbitrage links. On the other hand, futures markets may have a stabilizing effect on the underlying spot market because futures trading improves price discovery, enhances market efficiency, increases market depth as well as information flows and contributes to market completion (Danthine, 1978, Bray, 1981, Kyle, 1985 and Stoll and Whaley, 1988). If the derivatives market is dominated by rational investors, volatility transmission from futures to spot markets will reflect information flows and thus increased market efficiency (Zhong, Darrat, & Otero, 2004). Therefore, as Antoniou et al. (2005) highlight, conclusions about the stabilizing or destabilizing role of futures trading critically hinge on the presence of sentiment-driven traders in the futures market. This paper adds to the debate by providing comprehensive international evidence on feedback trading in emerging and mature stock index futures markets. Our empirical approach draws on a simple heterogeneous agents model developed by Sentana and Wadhwani (1992). We find a strong empirical evidence of positive feedback trading in the majority of futures markets under consideration. A large fraction of investors in these markets seem to chase short-term to medium-term trends. The influence of such trading behavior appears to be strongest during market downturns. Our findings extend previous evidence of feedback trading in four major stock index futures markets documented by Antoniou and Koutmos (2008). Furthermore, Antoniou et al. (2005) show that the inception of futures trading in six mature markets coincides with a reduced influence of feedback trading on the constituents of the underlying stock index. Their results also suggest that trend-chasers do not migrate to futures markets. Kurov (2008) studies feedback trading in a market microstructure setting using high frequency data from the S&P 500 and Nasdaq-100 E-mini futures markets. A vector autoregressive analysis of returns and order flows reveals strong evidence of positive feedback trading. These papers, however, only consider a small subset of mature stock index futures markets, neglecting emerging markets. The remainder of the text is structured as follows. Section 2 presents our empirical approach and dataset. Empirical results are discussed in Section 3. Section 4 concludes.

Recent literature raises the issue of feedback trading in stock index futures markets (Antoniou et al., 2005, Antoniou and Koutmos, 2008 and Kurov, 2008). We contribute to the literature by investigating the influence of positive feedback trading on the daily returns of 32 emerging and mature stock index futures within the heterogeneous agents framework of Sentana and Wadhwani (1992). There is strong evidence of trend-chasing in the majority of futures markets under consideration. This result is robust across emerging and mature markets as well as variations in the empirical approach. In particular, the influence of positive feedback trading appears strongest during periods of financial turmoil associated with falling futures prices. This effect can be traced back to institutional details of futures trading. In times of stress, investors with long positions facing falling futures prices will find it difficult to meet margin calls. Therefore they will be forced to liquidate positions by selling futures contracts (i.e. trade on positive feedback), which in turn may lead to further downward pressure on prices. In this sense, our empirical results on asymmetric positive feedback trading in international stock index futures markets are reminiscent of liquidity spirals described by Brunnermeier and Pedersen (2009). Most notably, the issue of positive feedback trading in stock index futures is important with respect to the benefits of futures markets in terms risk management, their contribution to price discovery and spot market stability. First, empirical evidence presented in this paper is of great concern for investors who wish to use futures contracts as an instrument to hedge risk as feedback trading may drive prices away from fundamentals (De Long et al., 1990). Second, the presence of feedback traders has implications for price discovery in stock index futures markets. In principle, futures contracts offer an instrument to trade on private information at a low cost, highly leveraged and without short-sale restrictions. In the presence of positive feedback traders, however, rational arbitrageurs using the futures market to bet on market movements will face substantial noise trader risk (De Long et al., 1990). Empirical literature shows that, due to such limits to arbitrage, mispricings may indeed persist over longer horizons (Brunnermeier and Nagel, 2004 and Brown and Cliff, 2005). Therefore the presence of sentiment-driven traders may undermine the contribution of stock index futures trading to spot market efficiency. Moreover, our findings are related to the debate over the stabilizing or destabilizing impact of futures trading on the underlying. A voluminous literature addresses this issue focusing on the level of conditional spot market volatility as well as correlation and spillovers between both markets (Antoniou et al., 1998, Gulen and Mayhew, 2000 and Zhong et al., 2004). In the light of arbitrage links between spot and futures markets, trend-chasers inducing noise in the price signal emerging from futures markets may in fact destabilize the spot market.