Analysis Of The Impact Of Stock Index Futures Policy Changes On The Quality Of The Stock Market

China's stock market ushered in the stock market crash in 2015.It is observed that stock index futures have been leading the fall of the stock index in this period.Before the stock market plunged,stock index futures were always fall first,so people strongly questioned the stock index futures is the reason of the stock market crisis.As an important measure to save the market,CICC has issued a series of policies to restrict stock index futures trading in 2015.The trading rules of stock index futures have changed greatly.However,according to the theory of financial economics,futures as an important financial tool to avoid market risk and realize asset value preservation.Therefore,in the period of the stock market crisis,whether the stock index futures are really causing the sharp shock of the current market,restricted stock Whether or not futures trading is reasonable remains to be explored further.Based on this background,this paper will proceed from the market reaction after the implementation of the policy,and quantitatively evaluate the implementation effect of the stock index futures restriction policy from the short-term and long-term effects,so as to further analyze the relationship between the stock market crisis and the stock index futures.In the short-term impact,this paper will use event study method to calculate the positive and negative reaction of the market by calculating the excess return of the event window sample stock.In the long-term impact,this paper will learn from the concept of market quality,from liquidity,volatility and information transmission,through statistical test and regression analysis,analyze the changes in the quality of stock market after the change of stock index futures trading rules.The results show that,in the short term,the policy has a positive impact,and the market confidence has been restored for a period of time.In terms of market quality,liquidity and volatility indicators have shown a downward trend after the stock index futures trading is limited.The risk of market collapse has been effectively curbed.It is stable.However,transaction restrictions have weakened the information transmission effect of the market and reduced the sensitivity of the market to new information.Therefore,this paper holds that in 2015,the crisis in China's stock market has a certain relationship with the stock index futures trading,and the policy of the stock index futures trading limit has played a role in stopping the fall,basically reaching the expected level of policy formulation,but in the long run,the policy is not conducive to the market efficiency and the quality development.