Research On Innovation Of Stock Index Futures And Securities Market Regulation

As basic financial derivatives with only a short history of thirty years, stock index futures, known as "the greatest financial innovation since1970s", have rapidly risen. The role and value of stock index futures have affirmed again and again after the re-examination and reflection of people on every crisis, which has a significant effect on the financial innovation orientation and regulatory thinking adjustment of the domestic securities, and even directs the development of the whole securities industry. In2010, China launched stock index futures, which has made up for the deficiency of domestic financial innovation, improved the risk management mechanism in securities market and enriched the trading model of capital market, but also created new risks. During the last two years, the debates on whether it can help the stability of stock market has never stopped.On the objective aspect,we should evaluate the operating effect of stock index futures rationally, analysis the underlying factors which restrict the function of it deeply and promote the development of it healthily in China. At the same time, facing the kinds of problems and changing risk of index futures,it has become the dual requirement of history and reality to adjust the securities regulation, promote financial innovation and Optimization of the securities market.With the main line of innovation and regulation, this paper,combining of normative research and empirical analysis, firstly reviews the twenty-year developing history of China’securities market and positions the current market as the innovating and developing period in which innovations grow fast and regulations need improving. Combining with the international experience and the developing history of the securities market of US, we come to an agreement that China’s securities market is still at emerging stage, when the market is relatively active, but the basic system mechanism need improvement. In general, the securities market of China is in an innovating and developing period and still an emerging one, and stock index futures will have an import impact on the securities market of China to mature further.Secondly, we use Inductive and deductive method to arrange the basic theory of index futures. It demonstrates that it has functions of risk avoiding, price discovering and asset allocating. But it also has both own and special risks. After researching the historical practice of the foreign stock index futures, we find that its development should depend on a health and mature stock market. And for the own innate transaction characteristics of stock index futures, risk aversion can also create new risks itself which may format even greater systemic risk gradually. Therefore, it is necessary to achieve coordinated development of innovation and regulation.Thirdly, tests have been respectively made on the index stock futures function effect through building econometric models based on the two-year data of CSI300stock index futures since its listing. We test its effect of discovering price by using cointegration model, the parameter of VECM, and long and short modified LMS. It uses daily data to construct the GARCH model of spot price’s volatility and add dummy variables to express the Push-out of future, to test the influence of Push-out of futures on the volatility of spot market, and further tests the effect degree; In addition, it compares beta coefficient and rangeability of six Stock Index by using CAPM model such as Shanghai Stock Exchange180Index and Shanghai Stock Exchange50Index, to test the function which stock index futures can reduce the systematic risk of spot market. The results show that Shanghai and Shenzhen300stock index futures has a certain degree of price discovery function; Push-out of futures can reduce the fluctuation of stock price, but the effect degree is limited; it is in favor of reducing the systemic risk of stock market, and the effect is also limited as above.For such results, the paper further the study on the deep-seated reasons by the ways of contrastive analysis, including stock market defects, stock index futures market staged defects, and the defects of coordinating and developing mechanisms of the two market. Then the own risks and new risks of stock index futures innovation are discussed, especially cross-market risk, which shows that as a part of securities market, the operation of stock index futures has changed the transmission mechanism of securities market risks and external risks and increase more ways and channels to spread risk.Fourthly, based on the discernment of the dialectical relationship between innovation and regulation, a conclusion has been drawn that the development of stock index futures innovation comes together with the regulatory adjustment of securities market. For building the ideas of regulatory adjustment in securities market, we try to establish a static game model with complete information to discuss the change of regulation equilibrium when stock index futures are treated as an innovation add-on in the stock market. We also establish the three regulatory objectives and concentrations from the practice. And we try to rebuild the supervision model,whose shape likes“人”,Enrich the connotation of three-grade regulatory,and increase the second regulatory, which is used to a line supervision between "five directions" and industry association, and Emphasizing the connection of three regulatory level.Finally, guided by the regulatory adjustment goal, specific supervision measures on cross-market regulation, optimization of stock and stock index futures market environment and promotion of institutional investors will be put forward. In order to realize the cooperation between futures and spot market, We should improve coordination mechanism of cross-market surveillance and institutional information, and establish stabilisation mechanism. In addition, we need guide investors, expend product line and create relevant system to improve futures market.Then.Though promoting fund and securities companies and other institutional investors growing by kinds of ways and strengthening the cooperation with international regulators to control risk and ensure the safety of market, the foundation of securities market can be consolidated from multiple perspectives and then the development of innovation will be promoted.