| In April 2019,the A-share market reached a relatively high level of 3300 points,and there was some bearish sentiment in the market.At this time,China Financial Futures Exchange greatly relaxed the rules of stock index futures trading,which reduced the cost of hedging or arbitrage by investors,and activated the futures market.However,in the next two weeks,the Shanghai Composite Index fell by nearly 10%,and a large number of voices of blaming the stock index futures trading stocks were relaxed.However,many studies have shown that relaxing the stock index futures fair will activate the futures market,increase the speed and efficiency of information transmission in the futures market,enhance its price discovery function,and then improve the pricing efficiency of the spot market through the close relationship between futures and the spot.There are two main mechanisms for the influence of stock index futures on the pricing efficiency of the spot market: first,through the price discovery function and arbitrage function of the stock index futures,the price information of the futures market is transmitted to the spot market to eliminate the price deviation of the spot market;second,the system The difference in composition from investors makes the price of the futures market lead the spot market in most cases.This kind of leading will increase the pricing efficiency of the spot market through information spillovers between financial markets.This article selects some Shanghai and Shenzhen 300 constituent stocks and some non-stock index futures constituent stocks as the research object,taking the policy adjustment of April 2019 as a natural experiment,and taking August 2018 to January 2020 as the time interval,according to existing research,Select three pricing efficiency indicators as the measurement standard.Calculate the pricing efficiency of each stock before and after the event through regression analysis,and then use the double difference model(DID)to analyze the impact of this policy adjustment on the pricing efficiency of the spot market.The results of the study show that the relaxation of stock index futures trading rules can improve the pricing efficiency of the spot market.At the same time,the component stocks of the stock index futures index are more affected by the stock index futures trading,and their pricing efficiency is higher than that of non-stock index stocks before and after the event..Pricing efficiency is also affected by factors such as turnover rate and market conditions.The decline in stock pricing efficiency after the event is mainly due to the significant deterioration of market conditions.It is reasonable for the China Securities Exchange to relax the rulesof stock index futures trading,which can improve the pricing efficiency of the stock spot market in the long run. |
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