Analysis Of The Early-warning Systematic Risk Capability Of Stock Index Futures

Since the launch of CSI 300 index futures in China,CICC(China Financial Futures Exchange)launched CSI 500 index futures and SSE 50 index futures on April 16,2015.The increase of stock index futures not only enriches the types of financial products,but also brings more investment ideas to the whole market,opening a new era of bilateral trading.The underlying index of stock index futures is the spot index.Therefore,stock index futures have the characteristics of price discovery guiding spot and hedging to avoid spot market risk.Compared with foreign developed markets,Chinese stock market has higher systemic risk.The main reason is that the market structure and the regulatory system need to be improved,the stock market is very sensitive to the response of policy news,and the stock market has obvious leverage effect,the probability of stock price entering a deep decline is increased.Therefore,the research on the early warning ability of stock index futures can urge investors to improve their understanding of stock index futures,keep rational investment philosophy,make full use of stock index futures to build different investment strategies,avoid blindly following the trend,and thus provide help for the market to take the initiative to prevent systematic risks.According to the research on the early-warning function of stock index futures,the difference of conclusions is obvious by using the simulation trading data or selecting the analysis of stock index futures released soon.Many domestic scholars have selected relatively mature CSI 300 index futures for analysis,while there is a lack of research on the domestic three stock index futures at the same time.More studies have concluded that stock index futures can play the function of price warning,and there are still some differences due to the different market environments,most of which are divided according to the given definition.This paper selects the real transaction data in the period of systematic risk as the sample set to form a relatively complete window period,and analyzes the early-warning risk effects and specific differences of the three stock index futures under various natural market environments.The period of systemic risk includes two regulatory environments,namely restricting stock index futures trading and lifting restrictions one after another.Previous studies mainly focused on the impact of trading restrictions on market efficiency.Hence,this paper further analyzed the impact of these two regulations on the early warning ability of stock index futures.In particular,the successive deregulation stage included two adjusted trading data on February 17,2017 and September 18,2017.The research on whether the domestic stock index futures can play the role of volatility warning basically selects the volatility index to conduct the empirical study separately without combining the price guidance in the same window period for analysis.In this paper,the price guidance and volatility guidance of the three stock index futures are introduced into the empirical study at the same time,and the same sample window is selected for the study.This paper takes the systematic risk period of China's stock market as the background,and selects the real trading data during the period from the stock market boom in July 2014 to the steady growth in December 2017 as the sample set.The VECM model is established by using 5-minute high-frequency data to study whether the three stock index futures listed in China have the effect of price warning by combining impulse response and variance decomposition,and then the impact of restricting stock index futures trading and its cancellation measures on the early-warning ability are analyzed through the rolling window Granger causality dynamic test.On this basis,this paper further introduces OHLC,the degree of volatility risk,as the early-warning index,and uses the quantile regression model to conduct empirical studies on the yield and OHLC indexes respectively,and studies the price warning and volatility warning ability of stock index futures in different market environments,and specifically analyzes the differences of the early-warning ability of the three stock index futures in different environments.The empirical results show that,first of all,the three stock index futures can play a warning role on spot index in different degrees,forming a warning effect.In the systematic risk background,CSI 500 index futures have the strongest early-warning capability for risk,followed by CSI 300 index futures,while SSE 50 index futures have relatively poor significance.Second,both CSI 500 and CSI 300 index futures have a strong leading ability in the case of stock market crash.The similarity of their warning features is relatively high,so these two kinds of stock index futures are worth attention when the stock market declines sharply.Thirdly,restricting the trading of stock index futures has a inhibiting effect on the leading effect of stock index futures,which is not conducive to the play of its early-warning function,and the effect of restricting trading on the CSI 500 index futures is smaller than that of the CSI 300 index futures.However,since February 17,2017,the positive effect of lifting restrictions successively is very obvious,which improves the leading effect of stock index futures.This paper makes the suggestions based on the above results: First of all,while maintaining the stable development of the market,the regulatory authorities should give some flexibility to the market development and try their best to avoid one-size-fits-all supervision.Second,the market should enhance financial innovation,gradually improve stock index futures varieties,avoid excessive use of a certain financial product,and thus improve market efficiency.Third,Investors need to deepen their understanding of financial markets and products,and properly use stock index futures to hedge risks within their risk preference.