Research On Information Transmission Of Futures Market Under The Background Of Major Risk Events

As a risk management tool serving the real economy,futures market has been widely concerned by scholars and strongly supported by the country.However,in recent years,major risk events occurred frequently,such as economic risk events,political risk events,natural disasters,etc.,to impact our futures market.In addition,with the improvement of financial market integration,the information transfer between domestic futures markets and between domestic and international futures markets becomes closer.The role of futures market in information transmission directly affects the normal function of futures market.Therefore,it is especially important to study the information transmission of futures market under the background of major risk events.This dissertation takes the 2015 stock market crash,Sino-US trade friction and COVID-19 as entry points,and empirically tests the impact of major risk events on China’s futures market and explore its internal mechanism from the perspective of information transmission in the futures market by using price discovery model,volatility spillover model and network connectedness model.The main research contents and conclusions are as follows:Firstly,this dissertation studies how government intervention affects the information transfer process between the domestic stock index futures market and the overseas alternative market by taking the price data of the domestic Shanghai Stock Index 50futures(IH)and the overseas listed A50 futures as samples.It is found that prior to the implementation of trading restrictions on IH futures,IH futures had a greater impact on A50 futures volatility than A50 futures on IH futures volatility.However,the price discovery and volatility spillover effects of IH futures are weakened after the restrictions on IH futures trading.In addition,the dissertation also finds that the gradual relaxation of these trading restrictions does not improve the role of IH futures in information transmission.Further findings suggest that the imposition of trading restrictions may force investors to move to overseas markets,and that lifting restrictions does not attract back all lost investors.Government intervention may cause emerging markets to lose their inherent advantages.The findings of this dissertation have important implications for emerging markets that want to increase their international influence.Secondly,this dissertation makes use of the major risk event of Sino-US trade friction to investigate the impact of tariff measures on the transnational information transmission of soybean futures market.The results show that the tariff measures weakened the link between Chinese and American soybean futures,and the US soybean futures market was relatively more affected by the impact.Although the scale of the three additional tariffs is getting bigger and bigger,but the impact of the tariff measures on the soybean futures market of China and the United States is getting smaller and smaller.The results of regression analysis show that increasing alternative import sources of soybean can help reduce the impact of tariffs on China’s soybean futures market.Further,this dissertation re-examines the information transmission of Sino-US soybean futures industry chain based on the network perspective.It is found that the American soybean industry chain is the main sender of information,while the Chinese soybean industry chain is the main receiver of information.In addition,in order to capture the dynamic changes of information transmission during the three rounds of tariff increases,the dissertation also provides a dynamic analysis using the rolling estimation method.The results show that the tariff has alienated the market links between China and the United States and strengthened the internal links of the domestic soybean industry chain.Moreover,the net connectedness index chart for each futures contract shows that the information transmission role of each futures contract changes most dramatically during the first tariff increase,which means that the futures market has adapted to the development of Sino-US trade frictions even though the second and third tariff increases are larger in size.Finally,taking the daily trading data of 32 futures varieties listed in China as research samples,this dissertation uses the connectedness network method to investigate the impact of COVID-19 on information transmission in the futures market.The study in this dissertation found that the total connectedness of futures markets rose sharply in the short period after the pandemic,indicating increased systemic risk.By examining the changes in the net connectedness of each futures variety before and after the epidemic,it was found that the risk transmission of non-ferrous metals and crude oil to agricultural futures was significantly enhanced after the outbreak.From a connectedness network perspective,while the COVID-19 pandemic has increased the overall level of risk in futures markets,it has also increased the risk transmission of non-ferrous metals and crude oil to agricultural futures.This dissertation confirms that the COVID-19 pandemic has a significant impact on the overall risk of the futures market,and that this impact changes dynamically in various stages of the COVID-19 pandemic.The results of the mechanism test show that the impact of COVID-19 on the overall risk of the futures market is partly mediated by the bond yield,consumer expectations and fear index.This means that in addition to the direct impact of COVID-19 on the aggregate connectedness of the futures market,there is also a part of the impact through the currency level,the supply and demand level and the market level.The main contributions of this dissertation are as follows: First,from the perspective of investor behavior,this dissertation extends the literature on how government intervention affects transnational competition in information transmission in emerging markets,which is particularly important for emerging markets that aspire to increase their international influence;Secondly,this dissertation puts forward a new perspective based on the Sino-US trade friction as the event background,that is,to study the information transmission mechanism between futures markets from the perspective of industrial chain,which provides a reference for investors and regulators in futures markets to deal with the information transmission changes brought about by trade frictions.Third,this dissertation not only by using the methods of mechanism to test the new crown outbreak of domestic commodity futures market overall risk level mechanism,the influence of separately inspected the new champions league during the outbreak of the futures varieties in the role of connectedness network differences and driving factors,these results can help investors and regulators to effectively deal with the financial risks of the new champions league outbreak.