| Since the launch of stock index futures in China at April 2010, the procedural mode of high-frequency trading, T+0 transaction structure and the extraordinary performance during the process of risk hedging and arbitrage attract the attention of both investors and regulators. As the hot spot and frontier of quantitative investing, the stock index futures market microstructure and the high-frequency means of exchange particularly got high attention at home and abroad. At the same time, the vigorous development of derivatives market demands higher and higher monitoring level which has been controlled by financial institutions and regulators. From June 2015 to August 2015, continuous decline limit of stock index futures and continuous slump of A-share market are the typical manifestation of these challenges under the background of new market. How to better analyse implicit information in the market transactions and better understand the operating logic of market economy so that we can make more effective risk management and more targeted market supervision is a valuable research topic.Just one month after the launch of CSI 300 stock index futures, the U.S. stock market crashed. Easley et al.(2011) analysed that crash from different aspects and she pointed out that the reason for U.S. Stock market's crash in 2010 was liquidity collapse, and we can use " Volume-Synchronized Probability of Informed Trading — VPIN" to forecast the occurrence of collapse in a few hours in advance. Then, many scholars directly and indirectly confirmed the claim applying the U.S. stock market trading data by using different models. So whether the probability of informed trading can also predicts the situation of the liquidity of financial markets in China? Is the probability of informed trading associated with information asymmetry? Whether Inventory model, information model and game theory model apply with the informed trading conditions of our country market and collapse phenomenon? Does the traders' trading behavior have a role for the market? To answer these questions, this thesis obtains from the market microstructure, microscopic Trading market structure and the evolvement of the theory of information asymmetry on price volatility transmission path. On the basis of examining different ways of measuring information asymmetry, this thesis introduced the computational method of Probability of Informed Trading (PIN) and Volume-Synchronized aim-listed Probability of Informed Trading (VPIN). Then, by calculating the data for each transaction of 300 index futures of Shanghai and Shenzhen from Sep 2014 to Aug 2015, this essay got the Probability of Informed Trading and stock index futures returns, and briefly described indicators statistical properties. Then this essay used Hansen threshold regression model to analyse the relationshipbetween the probability of informed trading and stock index futures returns. Through the empirical research, this essay found that they have a positive relationship, demonstrating the analysis of the mechanism in the second chapter, that is to say, the asymmetric information does ask risk compensation, and there is an obvious "threshold effect". The greater the probability of informed trading value, the higher the degree of information asymmetry, and the higher the requirements of the risk premium. According to the theoretical analysis and empirical results,the thesis put forward countermeasures and Suggestions that on the basis of VPIN value control, the investors are able to control liquidity and the regulators are able to monitor market liquidity, and that investors should adhere to trading strategy to reap the benefits. |
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