Research Article
High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions
Table 1
Trading rules of CSI 300 index futures (until the end of 2018).
| | Time | Nonscheduled policy opening hands limit | Nonhedging (%), hedging position trading margin (%) | Transaction fee (‰) |
| | 2012.6.29 | — | 12, 12 | 0.035 | | 2014.9.1 | — | 10, 10 | 0.025 | | 2015.8.28 | 600 | 20, 10 | 0.115 | | 2015.8.31 | 100 | 30, 10 | 0.115 | | 2015.9.7 | 10 | 40, 20 | 23 | | 2017.2.17 | 20 | 20, 20 | 9.2 | | 2017.9.18 | 20 | 15, 15 | 6.9 | | 2018.12.3 | 50 | 10, 10 | 4.6 |
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