Analysis On The Influence Of Speculation On The CSI 300 Index Futures Prices

China's stock market has been lack of systemic risk-aversion tools for a long time.The introduction of the CSI 300 index futures in April,2010 changed the situation.It provides a new choice of asset allocation and risk management for institutional investors and richer the investment objects for individual investors,promoting the diversification of investment patterns.Good stock index future market has price discovery function.It can guide social resources,improve the efficiency of resource allocation and promote the capital markets to function fully and effectively.However,China's stock index futures market is still in its infancy and the function is not perfect,also,whether the stock index futures price and it's change is appropriate need to be explored.this paper selects the important group of stock index futures market—speculators as the study object,analyzes the effect of speculation on the CSI 300 index futures prices and it's change.Firstly,this paper analyzes qualitatively on the effect of speculation with the log-periodic power law(LPPL)model.We select the day's closing prices of CSI 300 index futures in the bull market from March 10,2014 to June 12,2015,take log of them and fit them with the LPPL model.According to the LPPL model's two major properties and corresponding charts,we find it a good fit of the prices of CSI 300 index futures in sample period with the LPPL model.Therefore,the futures price increased partly by speculative bubbles in sample period.Speculation can be considered to have significant influence on futures prices.Secondly,this paper introduces Moosa and Al-loughani's arbitrage and speculative analysis model to study the effect of speculation on futures prices quantitatively.We select the day's closing prices of CSI 300 index futures from January 1,2013 to June 30,2015.The OLS method was used to fit the data after logarithmic transformation and cointegration test.The regression result presents that the coefficient of the impact of speculation is significantly different from zero and its number is small.So,from a long-term perspective,speculation plays a very slight role in the prices of CSI 300 index futures.Then,the VAR model is introduced to study the short-term effect of speculation.After impulse response functions,we find that the futures prices are sensitive to the impact of speculation.Speculation promotes the price up in the short run significantly and then the price varies inversely and tends to zero.Repeat the experiment by changing the selected time period,we find that the conclusion is robust.Finally,we summary the empirical results and put forward some suggestions to the futures regulators and speculators.