| China launched the CSI 300 stock index futures contract on April 16,2010.Since its launch,stock index futures have been trading 15 minutes earlier than the spot market,with a 15-minute delay in closing,which are called the early opening period and the late closing period.It is generally believed that nonsynchronous trading in the spot market makes the linkage between the two markets more closely,and the early opening period has the function of revealing information of markets.Late closing time allows investors to use closing price information of spot market to adjust their positions in the futures market and control Risk,therefore,the nonsynchronous trading mechanism of futures and spot markets has an important role.China's stock market disaster appeared in 2015,the market has been hit hard.Then in the beginning of the year 2016,China Financial Futures Exchange()adjusted the trading time of CSI 300 stock index futures to be consistent with the spot market,and cancelled the nonsynchronous trading mechanism,the phenomenon of early opening and late closing of futures market no longer existed.The CFFEX's behavior of adjusting the trading time of the futures market has caused this article to explore the nonsynchronous trading mechanism of the futures market,and further investigate the impact of the extended trading of the stock index futures on the spot market.And analyze and examine the effect of the adjustment of the trading mechanism.Based on the development of stock market and stock index futures market in China,the total samples before the adjustment of trading mechanism are divided into three sub-samples: horizontal market,bull market and bear market.Based on the perspective of nonsynchronous trading mechanism of futures and spot market,this paper analyzes the impact and function of the extended trading of stock index futures market on the spot market returns,volatility and risks,and examines the different performance of this impact relationship in different sub-samples.So as to assess the effect of the stock index futures trading mechanism adjustment.The main contents and conclusions of this paper are as follows:First of all,to explore the impact of extended trading of stock index futures market on the spot market yield.The EGARCH model is established to investigate the relationship between the early opening period,late closing period of futures market and overnight yield of spot market.The research shows that stock index futuresmaeket has the ability to reveal information in the early opening period under different market conditions,which has a positive effect on the overnight yield of spot market and shows the good forecasting ability.The late closing period has a positive impact on the spot market in horizontal market,not existed in bull markets,but can provide a channel for investors to risk off in bear markets.Secondly,the influence of stock index futures market'sextended trading on the price guidance relationship and dynamic correlation of two markets is investigated.Based on the daily trading data and intraday high frequency data,the price information of the futures market at 9:30 and 15:00 is extracted,and the VAR model is established to study the influence of the stock index futures market's extended trading on the price guidance relationship of two markets.A DCC-GARCH model is established to investigate the influence of extended trading of futures market's on the dynamic correlation between the returns of the two markets.The results of VAR regression show that the price returns of the two markets are guided by each other under the horizontal market,and the linkage is the most closely related.The early opening period showed a strong performance on both the spot and futures markets The price guidance relationship of the two markets is weak in the late closing period;the price guidance relationship between the two markets is not obvious and the linkage is not strong under the bull market and bear market.The results of DCC-GARCH model show that the information in the early opening period of stock index futures market promotes the dynamic correlation between the opening yield of the two markets.However,the information in the late closing period reduced the dynamic correlation between the two markets.Finally,the influence of extended trading of stock index futures market on the extreme risk of spot market is analyzed.The quantile regression QAR model was used to investigate the influence of the information of early opening and late closing of stock index futures market on the opening and closing return quartile of spot market.The conclusion of the study shows that the return information of stock index futures market in the early opening period of stock index futures can predict the opening risk of the spot market in the horizontal,bullish and bear markets,and the closing risk of the spot market can be predicted in the late closing period under the horizontal market.But the ability to predict is slightly weak,and the bull market and bear market samples under the late closing trading information on the spot market did not have a significant impact.To sum up,based on the perspective of nonsynchronous trading,through the conclusion of study of stock index futures market's extended trading on the spot market return,volatility and risk,The extended trading of stock index futures has a positive effect on the spot market in the return and volatility aspects,but the late closing period does not play a significant role in the risk aspect. |
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