| In 2015,the stock market fluctuated abnormally.Some scholars thought that the speculative trading behavior of the stock index futures market was the main reason for the volatility of the spot market.Since the stock index futures market speculative atmosphere is intense,the China Financial Futures Exchange implemented a series of measures to restrict stock index futures trading.The volatility of the spot market has been reduced after implementing those trade restrictive measures.However,increasing the margin,limiting the opening and other restrictions caused a series of negative effects on the futures market and the spot market,such as reducing the liquidity of stock index futures and limiting the price discovery function.So the public put forward proposals on loosing the stock index futures.In view of the development of stock index futures market,China Financial Futures Exchange announced new policy to reduce stock index futures trading restrictions on February 17,2017.The aim of new policy was to play function of the stock index futures more effectively.The relationship between stock index futures and spot market has always been the core issue of academic research,but the impact of stock index futures on the spot market has not been clearly defined.and how the trade restrictive measures influence the relationship between stock index futures and spot market did not reach a consensus.Based on the actual situation of China's securities market,this paper analyzes the dynamic changes of the futures market and the spot market in different periods when the stock index futures trading policy is introduced by using theoretical analysis and empirical analysis.In theory,this paper analyzes the impact of stock index futures on the spot market mechanism.In the empirical research,firstly,by using the VAR model of tool variables and the Granger causality test,we study the dynamic fluctuation relationship between stock index futures and spot market yield at different stages of transaction limit.Secondly,through the cointegration test,impulse response analysis and variance decomposition,the paper studies the influence of the trade restrictive measures on the long-term equilibrium relationship between the spot market and the futures market.The study finds that trade restrictions has changed the impact of stock index futures on the spot market changes.First of all,VAR model in the dummy variable is more significant,indicating that the trade restrictive measures have a certain impact on the relationship between stock index futures and the spot market.Second,the Granger causality test results show that in the non-restricted trading hours,the futures market is the Granger reasonsof short-term dynamic fluctuations in the spot market market,but the spot market is not the Granger reasons of futures market.Trading restrictions make the spot market and Dynamic fluctuations in the futures market are causal.Again,impulse response analysis shows that limiting the trading system reduces the impact of the futures market on the dynamic impact of the spot market.And the variance decomposition shows that the limited trading system leads to a decrease in the variance contribution of the futures to the spot,but reducing trading restrictions leads to a increase in the contribution of the futures to the spot.So the trade restrictive measures reduce the impact of the futures market on the spot market.Finally,the GARCH model shows that the sum of the GARCH and ARCH coefficients is reduced after the trading limit,so the introduction of the restrictive policy has,to some extent,reduced the volatility of the spot market.The results show that the dynamic impact of the futures market on the spot market is different at different times when the stock index futures trading policy is introduced.First of all,limiting the transaction reduces the impact of stock index futures on the spot market,and there is a short-term mutual guidance relationship between the spot market and futures market.Second,the transaction limit reduces the price discovery function of stock index futures,thus reducing the linkage between stock index futures market and the spot market,which brings a series of negative effects on the securities market.Finally,the relaxation of the restrictions lower restrictions' influence on the securities market to a certain extent,improving the guidance ability to the price of the spot market.All in all,restrictions on stock index futures can reduce some risks,but can not remove China's securities market flaws in general.In view of the development of China'sstock index futures,we should gradually deregulate the measures.To achieve that,we can adopt active measures from aspects of supervision and construction over stock index futures market,such as designing rational stock index futures contracts,adjusting market structure reasonably,building trading behavior supervision system of stock index futures market and enhancing investors' knowledge training and risk education. |
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