The Impact Of Transaction Fee Adjustment On Shanghai And Shenzhen 300 Stock Index Futures Price Discovery Function

As an important financial innovation,stock index futures have been widely used in global risk management and achieved remarkable results.Shanghai and Shenzhen 300 stock index futures is the first financial derivative of stock index futures in China,which is an important reform of China's financial market.The stock index futures consists of 300 large stocks with good liquidity and strong market representation.Futures market has a wide range of functions,one of which is price discovery,which is of great significance to ensure the healthy operation of futures market.The transaction fee is a kind of cost in futures trading.Reasonable transaction fee plays an important role in the normal operation of futures market.Therefore,according to the adjustment of transaction fees,this paper uses is information share model and multiple regression analysis to study the price discovery ability of Shanghai and Shenzhen 300 stock index futures market,and further analyzes the impact of the adjustment of transaction fees on the contribution of futures price discovery.In the aspect of theoretical analysis,this paper believes that the factors such as trading activity,market volatility and market investor sentiment will affect the price discovery ability of stock index futures market.When the transaction fee is reduced,the transaction cost of the market is reduced,the investor's sentiment will be correspondingly high,and the enthusiasm of investment will also be increased,so as to enhance the transaction activity in the stock index futures market,and the volume of transactions will also increase,which will speed up the information transmission speed in the stock index futures market,but at the same time,it will increase the market volatility.This paper holds that the price discovery function of the market refers to the ability to respond quickly and efficiently to new information.Therefore,reducing the level of transaction fees can enhance the price discovery ability of stock index futures market.However,the opposite conclusion can be obtained by increasing the transaction fee,that is,weakening the price discovery ability of the market.In the aspect of empirical analysis,this paper first finds that the first-order difference data of the closing price of stock index futures market and spot market are stable through the stability test.Secondly,the futures and spot prices may deviate in the short term,but in the long term,there is a relatively stable equilibrium relationship between the two prices.Thirdly,through the establishment of is information share model,the daily is value of Shanghai and Shenzhen 300 stock index futures is calculated,and the multiple regression model is established to study the impact of the adjustment of transaction fees on the price discovery function of stock index futures.Finally,the robustness test shows that the regression results are robust.Through theoretical analysis and empirical research,this paper finds that in the period of abnormal stock price fluctuations,greatly improves the level of transaction fees.In essence,this measure has a restraining effect on the normal operation of stock index futures market and is also unfavorable to the healthy development of the market.After that,CICC issued some loose policies,reduced the transaction fees,increased the trading activity of the market,which will be conducive to the realization of the price discovery function of the futures market,and play a significant role.The main contributions of this paper include enriching and expanding the relevant theoretical research,building the theoretical framework of the impact of transaction fee changes on the market price discovery ability,and analyzing how the impact of transaction fee changes on this function.And through the study of the price discovery function of the futures market changes when the transaction fees are reduced,to verify whether the promulgation of the easing policy can alleviate the negative impact of the previous restrictive policy,and analyze whether the price discovery function of the stock index futures market can be enhanced.It can provide some suggestions and references for the participants of investment trading in different markets,so as to further improve the management policies of China's stock index futures market.In addition,based on the research of stock index futures market,it can provide new ideas for the research of securities transaction tax.Because the construction of stock market and futures market in China is not perfect,it is necessary for the regulatory authorities to make a series of important decisions while restraining excessive speculation and stabilizing market capital.This paper suggests that the regulatory authorities should set up a reasonable transaction fee and use a reasonable transaction cost to attract investors to participate in the futures market.On the premise of ensuring the safety and reliability of the transaction,the market can have a certain degree of transaction activity,volatility and relatively stable investor sentiment,so as to better play the function of price discovery.