The Impact Of CFFEX's Restriction Policies On The Stock Index Futures Market And Spot Market

In 2010,the first stock index futures in China – CSI 300 stock index futures spotted on CSI 300 Index was launched,which symbols the development of financial market in China has stepped into a new stage.However,a severe stock market disaster occurred in domestic stock market in June,2015,when there were sayings that stock index future was responsible for this event.Under this circumstance,China Financial Future Exchange(CFFEX)brought out a series of restriction policies.This paper studies the price discovery between stock index future s and stock index via the event of CFFEX's restriction policies.This paper first introduces related concepts of stock index futures,history of stock index futures in China and worldwide and nationwide literature,followed by empirical studies based on one-minute high frequency trading data of CSI 300 stock index futures and stock index.The research mainly includes two parts.In the first part,I analyze the price leading,or lead-lag relationship between prices of CSI 300 stock index futures and stock index before and after the restriction policies via models and methods such as Johansen Cointegration Test,Vector Error Correction Model and so on.In the second part,building on two-variate DCC-GARCH models,I study the change of spill-over effect between CSI 300 stock index futures and stock index before and after the restriction policies,analyzing the effectiveness of the policies;I further compare d the degree of spill-over effect,testing the dominant role of two markets' price discovery from the aspects of long-term and short-term.This paper finds that,there exists price discovery relationship between CSI 300 stock index future and spot before and after the restriction policies,and the price of futures leads about 4 minutes.With the implement of the restriction policies.The futures market stabilizes the stock market to some extent,proving the effectiveness of the policies,but with the cost of lessening the power of futures' price discovery.This article further proves the above conclusions with add data of stock index and stock index futures in bull market,bear market and stable market respectively to avoid the other influence of stock market disaster.