Research On The Interactive Effects Of China’s Stock Index Futures And Stock Markets And It’s Cross-market Regulatory

Abstract:A lot of researchs have been done, after the listing of stock index futures。In these studies, Some studies analysis the effect of stock index futures market on the spot market theoretically,others analysis the guide relations between the two market prices as well as the effect of stock index futures market on the spot market empirically。Little research had been done about the relations and supervision of stock index futures and stock market in our country。This article try to study information、risk regulatory between the two markets from theory。According to current stock index futures and the spot market in China, the conclusion of this paper is as follows:First, under the Condition of different transaction costs in two markets and the short selling restrictions in stock market, we analysis the information and guide the relationship between stock index futures and spot market。The results showed that:the futures market contains more effective information than the spot market, thes traders who have inside information tend to transact in the futures market firstly。 There is mutual guiding in two markets, the extent of the futures price guiding is greater than the extent of the spot price。Second, the article analyzes guiding, information transmission and risk correlation between stock and stock index futures markets,from the aspect of volatility and yield。The results showed that:there is two-way interaction between stock and stock index futures markets, the stock index futures market is dominated。When stock market continued to fall, the risk association of stock index and stock index futures become more and more strengthen。In the aspect of information dissemination, the stock index futures market has more quickly reaction to the speed of systematic information, the information disseminate from the stock index futures market to the stock market;However,for non-systematic information, the information disseminate from the stock market to the stock index futures market。Finally, the paper studies on the identification method of cross-market manipulation and supervision between the stock index futures and stock markets o The results showed that:the method which based on the volatility and liquiditto can identify for cross-market manipulation activities and supervise。It will be effective that establish a perfect cross-market regulatory mechanism for the risk of regulator between two markets。...