| With high-frequency data during two months before and after three policy adjustments of stock index futures from 2015 to 2017,the research focuses on the impact of stock index futures on the microstructure of the spot market.One aspect is to analyze the price guidance contribution of stock index futures to the spot with a series of model based on VECM.Another aspect is to design indicator system of jump based on non-parametric test to explore the volatility spillover effect between futures market and spot market.The last one aspect is to find out whether stock index futures improve the micro-quality of the spot market in the context of different market volatility on the basic of ACD-EGARCH model.The main conclusions are: stock index futures play a leading role to guide the price of spot.After the stock index futures are limited,contribution of the stock index futures to the index spot price is significantly reduced.After the stock index futures are loosened,the price contribution will rebound.Before stock index futures are limited,there is a two-way fluctuation of spillover,but only the negative jump of spot market can overflow to the futures market,and there is no positive jump overflow between futures market and spot market.The result prove that the stock index futures are not the reason to make the price of spot overreaction and they do play a role of price discovery.Stock index futures can reduce the volatility of the spot market no matter the spot market is volatile or stable,and new speculators contribute higher volatility than information traders.While only when spot market is stable,stock index futures can enhance the liquidity of the spot market.When spot market is volatile,stock index futures attract more traders from spot market than the increment of spot market traders brought by stock index futures.So it is better to liberalize stock index futures than to keep limitation,while potential risk also needs to be prevented by speculators growth and good news shock. |
PDF Full Text Request