The Research Of Expiration Day Effects In CSI 300 Stock Index

Formal launch of CSI 300 Index Futures has the extremely significance to the Chinese financial market, as it not only enriches the financial derivatives in China, but also provides the powerful weapon for market participants to evade the securities market risks. However, since it was launched, characteristics quite different from the ordinary days have always appeared on the contract expiry dates, which has been accompanied by the abnormal price fluctuation as well. Impressively, the "Everbright Fat Finger Event" on August 16,2013 even caused the huge strike on the market behavior that day. Many investors have attributed the stock market fluctuation to the launch of index futures, so to study and prove whether there is the expiration effect in the Chinese market is important to explain the abnormal market fluctuation and to improve the market.In this paper, the empirical research has been carried out to prove whether there is the expiration effect with the CSI 300 Index Futures in respect of the trading volume, yield rate and fluctuation rate. First, by comparing the one-minute high-frequency data and the rate of the last two hour trading volume to the whole-day trading volume on the expiry dates with those on the non-expiry dates, it has been found that the trading volume on the expiry date increased remarkably. Secondly, the per 15-minute yield rate on the expiry dates is significantly different from that on the non-expiry dates. Thirdly, the fluctuation rate on the expiry dates is also different from that on the non-expiry dates. Finally, through mock trading of high-frequency data on two expiry dates, it has been proved with examples that performance better than the index yield rate can be achieved with the day-trend trading strategy. The research results have provided the data and empirical support to prove that there is really the expiration effect in the Chinese market.The expiration effect exists for the following reasons:characteristics of the index futures; features of the current Chinese market. Combining the research results and the examples, it is believed through analysis that the major reasons for the expiration effect include asymmetry between the physicals and futures trading systems, the structure of market participants, and lax supervision of the large institutional investors. If the above aspects are improved, the expiration effect will be weakened to a certain extent and the market will become healthier and more stable.