Research Of The Relationship Between Stock Index Futures Positions, Trading Volume And Price Of Stock Index Change

Stock index futures is new things of China’s capital market, research on which is at primary stage. This article research on the relationship between volume, positions of stock index futures and the change of stock index price, which help reveal operation rules of stock index futures market and have strong practical significance and application prospects.The research of this article makes us know about China’s structure of stock index futures market clearly, and makes regulators regulate easier. In addition to this, this article then explore the relationship between volume, positions of stock index futures and the change of stock index price, and take advantage of joint distribution information between volume, positions of stock index futures and stock index price. So this article can predict the change of the price of the stock market according to the change of volume, positions of stock index futures. This article also promote investors to know about the relationship between volume, positions of stock index futures and stock index price, which help regulators manage China’s stock index futures market.This article combine theoretical analysis and empirical analysis, and research on the relationship between volume, positions of stock index futures and the change of stock index price. In addition to this, this article make the Shanghai and Shenzhen 300 stock index futures, the SSE 50 stock index futures, the CSI 500 stock index futures as object of study.For the Shanghai and Shenzhen 300 stock index futures, the SSE 50 stock index futures, the CSI 500 stock index futures, this article will choose the original data since their own launch to December 31,2015, and set up GRACH model to make empirical analysis on the relationship between volume, positions of each stock index futures and corresponding stock index price. For the SSE 50 stock index futures and the CSI 500 stock index futures, this article will choose the original data from April 16,2015 to December 31,2015, and also set up GRACH model to make empirical analysis on the relationship between volume, positions of corresponding stock index futures and corresponding stock index price. But due to the launch time of the SSE 50 stock index futures and the CSI 500 stock index futures is shorter, the data quantity is less, so I will make them as a supplement. At the end of August to early September,2015, the China Financial Futures Exchange has released a series of policy measures for stock index futures trading, which make a great influence on the stock index futures market trading volume, positions. This article will also make analysis about the stock index futures market after the policy released, which will understand the influence of relevant policy on the stock index futures market.For the Shanghai and Shenzhen 300 stock index futures, one-period lag positions and one-period lag volume are both associated with the current yield of stock index negatively. Current positions and one-period lag yield are both associated with the current yield of stock index positively. The healthy development of stock index futures market also needs the joint efforts of regulators and investors.