The Research On Influence Of Stock Index Futures Trading Restrictions On Chinese Stock Market

“The abnormal fluctuations” in China's stock market from June to August in2015 are unprecedented in history.After more than two years of adjustments and with positive government response,the stock market gradually entered a phase of recovery and adjustment.Many voices attributed abnormal fluctuations to stock index futures.So the stock index futures were restricted shortly after the occurrence of the stock market disaster.According to the experiences of developed countries,the restrictions on the trading of stock index futures during the stock market did not bring good results.From February 2017 onwards,there are successively unbinding actions.At this time,what is the effect of the implementation of policies? In this bearish bear market,what is the role of stock index futures in the end? How to realize the price guidance function of stock index futures and how is the degree of influence? Can the policy help or prevent further declines or have no effect? What is the effect on volatility,increasing or reducing? Can we finally find out whether the CICC's restrictions on stock index futures are effective? This article will take two angles,one is the relationship of price guidance and the other is the angle of volatility.A vertical analysis before and after the withdrawal of the policy will be conducted,that is,a reasonable answer will be concluded.Facilitating the improvement of institutionaldesign will help optimize the financing environment and promote long-term economic development.This article takes the day of the restriction as the boundary,divides the research sample into two phases,analyzes the data of the two sub-periods in the price discovery part,and uses dummy variables directly in the impact part of the fluctuation,supplemented by sub-periods.For the price discovery function,the VECM model and the Granger causality test is complemented to investigate whether the introduction of the restricted trading policy for stock index futures will affect the price discovery function.For the study of the impact of volatility,we uses the standard deviation of descriptive statistics represents volatility,and uses variance homogeneity of the stock price standard deviation before and after the introduction of the policy results in a preliminary analysis.On this basis,GARCH(1,1)was established.In the model,a dummy variable describing the implementation of the policy was added to the variance equation,and the regression coefficient was observed to determine whether the fluctuation of the stock price before and after the issuance of the restriction measures was effective and whether the information transmission was effective.The conclusions are:1.There is a long-term equilibrium between stock index futures and stock index futures before and after the restriction.From June 1,2015 to before stock index futures is limited,the price of stock index futures leads the price of the CSI 300 index.China's stock index futures market has a basic price discovery function.The policy converted the price guidance relationship between spot stocks into mutual guidance in the short term.2.Before the implementation of the restriction,the CSI 300 stock index futures was the short-term Granger cause of the stock index,one-way price guidance.After restricting stock index futures trading,the most direct response is that the trading volume of stock index futures has shrunk dramatically,and the price guidance relationship between the current markets has also changed.Granger causality testresults are consistent with the VECM model.In the short term,stock index futures are no longer one-way guidance of stock index,stock index futures and spot prices are mutually exclusive Granger reasons,and stock index futures price guidance function is weakened.3.Restricting trading of stock index futures not only affects the constituent stocks of the underlying index,but also has an impact on the volatility of the entire stock market,specifically reducing the volatility of the stock market.However,this degree of impact is not very great,and the reduction in the volatility of this stock is likely due to a decrease in the efficiency of information transmission and a decrease in the efficiency of information transmission.Finally,the article proposes the following policy recommendations based on theoretical analysis and empirical conclusions: 1.Strictly review the proposed listed company to improve the quality of the listed company;2.Properly restrict speculative behavior;3.Develop risk hedging instruments;4.Settle the current market system error questions.