The Study On The Effects Of Trading Mechanisms Adjustment On The Hedging Effectiveness Of Stock Index Futures

China's Stock index futures market has developed for nearly seven years,China Financial Futures Exchange(CFFEX)is constantly adjusting the trading mechanism within carefully consideration of controlling riskness and promoting the development of stock index futures market.Befor the crash in stock market in 2015,CFFEX once took a lot measures to make the stock index futures market active,such as lower fees,relaxed position limits,lower margins,at the same time,the demand of heding is expanding.In June 2015,China's stock market suffered a crash,at that time,the index market is a mess too,many investors was eagering to have a hedge strategy on the futures.To maintain the normal operations of the stock index futures market,CFFEX carried out the corresponding control measures again(about the hs 300,the sz 50 and zz500),such as higher margin level,added registered fee for each deal 1 yuan,tight position limits,etc..In a word,the adjuastment of our trading mechanism aim to ensure the normal operation and development of the stock index futures market in China.These adjustment will enrich the theories of the transaction mechanisms,and also apply to do empirical study,which is very important to provide reasonable advice to CFFEX.This paper foucus on the influence of the adjusting trading mechanism on hedging effectiveness of the stock index futures.Firstly,introduce the trading mechanism on the transaction fee,margins,and position limit,then list all adjustments of these trading mechanism in our stock index futures market from April 16,2010 to December 31,2016.At the beginning of the empirical part,the DCC-GARCH model is used to calculation the squared dynamic correlation coefficient,which is representing the hedging effectiveness in this paper.Then,a simple regression model is used to investigate the influence of adjustment on the stock index futures by using dummy variable.The empirical study results show that the adjusting trading mechanism do have some impact on the heding effectiveness of the stock index futures,but it differ from different periods.In the beginning,the adjustment of the trading mechanism has significantly improved the hedging effectiveness of the stock index futures,which is improved by the gradual development of the warmth of the investors in the markets.In the second period,The adjustment significantly reduces the hedging effectiveness of the month,next month and next season contracts,but has no significant effect on the main contract and the quarterly contract.The adjustment of the trading mechanism during the stock market cash in 2015 has a significant reduction in the contract hedging efficiency,which may be due to the disorder of the market function.after the cash in 2015,adjustment of the transaction significantly improved the hedging effectiveness of the month,the next month contract,while the other contracts did not have a significant impact.The study suggest that CFFEX do not just copy the trading mechanism of Western countries,we should pay more attention to China's stock index futures market development,release trading mechanism when it is necessary,and for different contracts we should make different Adjusting standard.