The Effect Of The Limiting Stock Index Futures Trading On The Stock Market Volatility

Since 2010,the securities and futures commission approved the China financial futures exchange the CSI 300 index futures contracts and business rules,formally introduced stock index futures trading in our country.Stock index futures trading has always been a necessary part in the study of financial markets.However,the impact of stock index futures on the stock market volatility this paper mainly focuses on European and American markets in the developed countries,especially using econometric method to evaluate the government intervention in the stock market crash studies are scarce in China.Last year(2015)the stock market in China has experienced the ups and downs like roller coaster,the Shanghai index at the beginning of the 3500-point soared to 5178 vertices may quickly fell 34%after two weeks,the market very unpleasant.Government intervention in the stock market took a series of means to suppress panic selling but until late August early September China financial futures exchange comprehensive intervention speculative capital in the stock index futures market arbitrage before the stock market gradually stable.This article main research motive,this set of western government stock market crash means-through artificial stock index futures trading friction reduce the short-term volatility of the stock market whether have the same effect on the Chinese market.The Chinese market to investors and market opening degree and the European and American developed country stock market completely different,but related research is less.We hope that through this after the stock market crash international rescue policy natural experiment analysis to increase the influence of friction on short-term volatility of the futures market.Based on May 4,2015 to September 30,105 days,according to the yield of stocks Beta coefficient of each a CSI 300 or CSI 500 the underlying stocks in search of the underlying shares as control group.In 2003,according to the Hsiao put forward policy evaluation methods constructing "virtual reality" access policy disposal effect,based on analysis of the policy effect.Study found announced on August 25,26,pertorm the tirst round of the restrictions while increases the short-term volatility of stocks but also have considerable stock volatility reduce overall didn't have obvious effect.On September 2,announced on September 7,perform a second round of restrictions significantly reduces the overall volatility of the market.This paper reference the Bai&Ng's(2010)study of determining the number of common factors,found that although the Angle of the number of common factors help to improve the results,but excessive common factors in different samples combination did not show obvious economic significance,and by analyzing the sample composition factor of "hanging bottom gravel map" the study found that a factor can contain samples combination of more than 70%of the information,continue to increase the number of common factors while the result of the increase has weak help reduce fixed red pool of information,but it will multiply computing complexity.So we refer to William Sharpe's single factor model that the securities only affected by one factor.We found a evidence that could supports the conclusion:the increase of the stock index futures friction andthe inhibition ofliquidity,can effectively reduce the short-term volatility of the stock market.This phenomenon in the emerging markets has an inspired effect,provide the basis for government intervention in the market.