Research On The Relationship Between Stock Market And Investors’ Behavior In Index Derivatives Market

Stock index futures and ETF options have the basic functions including risk management,price discovery,stabilizing market supply and demand and price.During the ’stock disaster’ in 2015,in order to curb investors’ excessive speculation and stabilize the stock market,China Financial Futures Exchange began to implement a strict limitation to investors’ position on stock index futures,which directly led to a precipitous decline in market trading volume and investors’ attention to index derivatives.With the gradual stabilization of the stock market,the regulators began to gradually relax the trading restrictions on stock index futures from February 16,2017.After four-time adjustments,the trading rules have basically met the needs of normal trading after April 19,2019.On December 23,2019,CSI 300 ETF options were officially listed,and the types of index derivatives were further enriched.In the process of the gradual easing of stock index futures trading policy and the launch of CSI 300 ETF options,there were following characteristics in Chinese financial markets: first,the stock market still surged and crashed for many times.Second,the trading activity of the index derivatives market had been increasing.Third,online social media was widely used,and investors could obtain information and express their views more easily.Unstructured big data from the Internet and the rapid development of data analysis technology provide a good tool for measuring the investors’ attention.With the ’restart’ of the stock index futures market and the vigorous development of financial big data,how to give full play to the functions of index derivatives and switch investors’ attention to trading behavior that beneficial to market development is worthy of thinking by academics,industry and regulators.Based on the above background,this topic takes September 7,2015 to September6,2020 as the research interval,takes the gradual evolution of trading policies in the stock index futures market and the launch of CSI 300 ETF options as the event nodes,and focuses on the following three questions: First,evaluating the functions of stock index futures and ETF options,including improving the quality of stock market,dealing with extreme market environment as a risk management tool and alleviating information asymmetry.Second,this dissertation analyzes the progressive and ’step by step’ improvement of index derivatives on the stock market quality,as well as the gradually changing characteristics of investors’ trading behavior.Third,describing the influence path of ’investors’ attention-specific trading behavior of investors-stock market and index derivatives market’.Firstly,this dissertation constructs the activity indexes which reflecting different types of trading behavior of investors,and then makes the following three parts of empirical tests on this basis:The first part matches constituent and non constituent stocks of indexes based on the cross-sectional data of individual stocks,and then uses the idea of event research to test the impact of stock index futures and ETF options on the quality of stock market in the process of gradual easing of trading policy and the introduction of new products.The results show that: Although the overall volatility of the corresponding sectors of the stock market may increase with the relaxation of the trading policy,stock index futures and CSI 300 ETF options can inhibit the volatility of spot index components.Stock index futures have a ’trading transfer effect’ on the liquidity of the spot market,and the index component stocks are less affected,while the introduction of the CSI 300 ETF options has a limited impact on the liquidity of the main board market.The second part studies the relationship among the policy changing and new product launching,index derivatives trading activity and spot market quality through regression analysis and simultaneous equation model based on time series data.The results show that: The more attractive the trading policy in stock index futures market is to investors and the more types of derivatives that investors can choose,the easier it is for index derivatives to play its due roles and basic functions.From the perspective of volatility and liquidity,the role of stock index futures market in improving the quality of stock market has also been improved.The third part first constructs the attention indexes based on the behavior data of the investors in the online forum,then studies the relationship between the investors’ trading activity and attention in the index derivatives market from various angles,and tests whether there are changes in the trading behavior and attention of investors when the stock market rises and falls sharply.The results show that: Stock index futures can help investors deal with the extreme situations in stock market.There is a certain correlation and Co integration between investors’ attention and activity,and they are continuous Granger reasons for each other.When the stock market surges or crashes,investors’ attention has a certain persistence and asymmetry on the trading activity of stock index futures and ETF options.The more news related to stock index futures and the higher the attention of investors,the more cautious investors are in trading stock index futures.The main innovations of this topic are as follows: First,based on the policy background of China’s index derivatives market in recent years,this dissertation studies the gradual impact of policy evolution on the stock market and investor behavior.Second,this dissertation enriches the previous research on investors’ attention based on the background of big data,and extends the existing research results to the stock index futures market and ETF option market.Third,unlike most of the existing studies focus on the price discovery function of index derivatives,this topic focuses on the function of stock index futures and ETF options as risk management tools in extreme market environment,and further analyzes the relationship between investors’ trading activity and attention.Combined with the empirical results of this dissertation,the policy suggestions are as follows: First,regulators should further develop and open the index derivatives market and gradually improve the product diversity.Second,when the stock market rises and falls sharply,regulators should encourage the official media to disclosure more relevant information,so as to avoid malicious speculation by some investors who using their own information advantages.Third,regulators should help the healthy development of online social media,provide a platform for investors to actively participate in information analysis,discussion and exchange,and better educate investors by giving full play to their subjective initiative.At the same time,regulators should also strictly control the quality of information to avoid the ’false transmission’caused by the rapid and wide range of information dissemination in the Internet era.