| Chinese financial markets is on the tide of deepen reform, and have a rapid development. Since the deepen reforming of Chinese financial markets has been propose in the last the eighteenth Party congress, various financial reform policy have been carried out. Along with the establishment of free trade area (FTA), the liberalization of interest rate, the construction of multi-level capital market and the development of different financial derivatives, completing the transaction mechanisms for every procedure of our financial system have been required. Due to the complication of the financial system, there must build appropriate transaction mechanisms to maintain the markets operate properly and to keep the markets develop sustainably. How to design and improve the transaction mechanisms is an important research topic. The HS300stock index futures is the first contract of financial derivatives in China during the recent years. It has been traded for four years since April16th in2010. Now there are several new stock index futures and options contract trading as the pilot project in the China Financial Futures Exchange (CFFEX). The CFFEX changed the transaction mechanisms for six times during the last four years, these provided the opportunity to do empirical study. The results of empirical analysis will confirm the validity of the theory model, and provide real evidence for the extension of the theoretical analysis, then enrich the theories of the transaction mechanisms. These theories will provide the theory basis in the practice of financial market, and also apply to set the reasonable trading mechanism of China stock index futures market, even apply to other financial derivatives markets.Under the background of the deepen reforming of Chinese financial markets, this research begin with the study of introducing effect of stock index futures, and then concentrates on the adjustment of mechanisms in Chinese stock index futures market. This paper systematically investigates the financial derivatives markets of the one biggest economy, which is Chinese market, from it launched till now. This paper focuses on three problems. Firstly, with a starting point, analysis the impact of introducing stock index futures on the spot stock market, including trading volume, liquidity and volatility. Then list all adjustments of trading mechanism in our stock index futures market, do empirical analysis on the impact of these adjustment on futures market. The conclusions of the study will contribute to formulate and improve the market mechanism as references. The second and the third research topics are investigate the impacts of canceling the market order declaration of the season month contracts and the position limit adjustment. These researches results will provide theoretical support and practical basis for policy makers, and will provide feedback information of market for policy making. The position limit is a risk control policy, only for speculative traders, while all market participants affect by canceling the market order declaration of the season month contracts.There is no empirical research on the adjustment of the market mechanism of stock index futures in Chinese market, and this paper will fill the area. The results of the study will present a well understanding of the effects of each mechanism adjustment in Chinese stock index futures market. This paper may attract more scholars to pay attention to the trading mechanism of stock index futures market and financial derivatives market. Their researches accomplish by this study will support the development for Chinese financial derivatives market. This paper takes the effect of margin trading and securities lending business into account when investigate the impact of introducing the stock index futures. This is an important difference between this paper and the other existing researches. This study exclude the impact of margin trading and securities lending business, which lead to a more objective evaluation conclusions of the effect of stock index futures on the spot market in china. This study has prospectively, along with the vigorous development of Chinese financial derivatives market. There will have small cap index of stock index futures and individual stock futures and options and other derivatives. Since these new contracts are less liquidity and smaller market value coverage then CSI300index futures, there will be a challenge to the market mechanisms, which will lead to change the market mechanism. Only after completely understanding the existing trading mechanism through the researches, and getting the feedback of the real trading, we can effectively design the policy adjustment mechanisms. This thesis provides a comprehensive understanding of stock index futures market and trading rules. At the same time, due to this field is a frontier problem, this paper will try to start a comprehensive study in this field in China.This paper consists of six chapters, the specific research contents are as follows:The first chapter is the introduction part. This chapter briefly introduced the study from the four aspects, such as the background and research content, the logic structure of this article and research ideas, research methods, the meaning of this research and the contributions.The second chapter is the summary of related theories and literatures. This chapter lists the literature review on the area related to the follow-up study, including the market microstructure theory, the impact of introducing stock index futures, trading orders and position limits.The third chapter studies the effect of the stock index futures market in China. This chapter analyzes the constituent stocks of CSI300index, excluding the margin underlying stocks. By using the high frequency data, this chapter conducts empirical study analyzes the impact on trading volume, volatility and liquidity.The fourth chapter analyzes the effect of canceling the market order declaration of the Shanghai and Shenzhen300stock index futures season month contracts. IF1112is the only contract affected by this policy adjustment. This study analyzes the IF1112futures contracts, and this chapter is the first research of the role of market order, which has special meanings.The fifth chapter analyzes Chinese stock index futures position limit policy from theoretical and empirical respectively. Build a more suitable model for Chinese market to analyze position limits, and apply to CSI300stock index futures contracts. The empirical analysis of the impact of CSI300stock index futures position limits, the results support the theoretical model.The sixth chapter is the summary of the full text. Summarize the research conclusions, further explain the shortcomings of this study and future researches.The main conclusions of this paper are followings:First, after eliminating and controlling other factors, the results show that the introduction of stock index futures increases the volatility of the market, reduce the volume of market transactions and narrow bid ask spreads, which is significantly different from the results not excluding the margin financing business. The impact of margin business and index futures on the spot stock market reduce the volatility of the stock market and transaction volume, narrow bid ask spreads. That means the reduction of stock market volatility is due to the effect of margin financing business and stock index futures, rather than simply caused by the stock index futures.Second, to suspend the market order declaration of the season month contracts, this policy can significantly reduce the volatility of stock index futures, but does not reduce the volume of stock index futures. But, this policy increases the bid ask spread.Third, to prevent market manipulation, model results show that the proper amount of position limits should be inversely proportional to the contract multiplier, directly proportional to the base divisor of the index derivatives contracts. And it is inversely proportional to the underlying securities illiquidity index, directly proportional to trading cost on spot markets and the regulator's price-change tolerance. Conclusion on the basis of theoretical model of stock index futures in China, finds the position limit set too strict.Fourth, empirical analysis of Chinese CSI300stock index futures position limit adjustment, the result show that the position limit relaxation will increase the trading volume of the market as a whole, improve market liquidity, but did not increase the price volatility, confirmed the rationality of the position limit adjustment. Also confirmed the position limits strictly limits the market speculation, reduce the volume of market transactions, and reduce the liquidity of the market. Empirical study also show that the effect of adjustment on position limits is not consistent for the whole market and each contract. After rising the position limits amount, the trading volume of market and three of four contracts increased significantly, liquidity is only significantly improved on the season month contracts, and not increased the futures'price volatility.The contributions of this research list as follows:From the aspect of research object, on the one hand, this paper chooses the introducing effect of index futures in China and its' adjustment mechanism as the research object, has a comprehensive analysis of the China stock index futures. On the other hand, it is the first study on the impact of canceling the market order declaration of the season month contracts and position limit adjustment on Chinese stock index futures market, which fill the blank of research.From the method of the research, this study takes the linkage relationship between trading volume, bid ask spreads and volatility into account, and using simultaneous equations model to do empirical analysis, adding the main idea of difference-in-difference model into our empirical model, to get rid of the other endogenous factors.From the results of the research, by analyzing the introducing effect of stock index futures market more cautiously, through completely eliminating the impact of margin trading, the results confirmed that the different conclusions on previous research is mainly due to ignoring the margin trading. This paper also gives the conclusions on the mechanism adjustment. |
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