The Effect Of The Limiting Stock Index Futures Trading On The Stock Market Volatility

China officially launched the first stock index futures-Shanghai and Shenzhen 300 index futures on April 16,2010.The market grew rapidly after the launch.Until 2015,there was a rare stock market crash in China's stock market,many experts believe that the China market is still immature,stock index futures market full of strong speculative atmosphere,China Financial Futures Exchange has issued emergency measures to restrict the trading of stock index futures during August 25,2015 to September 2,2015.Does the measure that restricts the trading of stock index futures play a role in reducing the volatility of the stock market? What about the extent of the impact? What is the relationship between stock index futures market and stock market? In this context,this paper make research focues on these problems.This paper studies the effect of restricting stock index futures on volatility of stock market combines theoretical analysis with empirical research method.The empirical research have two parts,the first part selects GARCH(1,1)and EGARCH(1,1)model,the total sample data is divided into before and after limitation sub-sample data,using dummy variables to represent restrictive policies,adding securities margin trading to analysis,studing the effect of restricted stock index futures on volatility and asymmetry of stock market.The second part builds the VAR model,analyzing the influence degree of restricted stock index futures trading on stock market fluctuation and the relationship between the two markets.The following conclusions are obtained through analysis:(1)the policy of restricting the trading of stock index futures reduces the volatility of the stock market;(2)the policy of restricting the trading of stock index futures improves the asymmetry of stock market;(3)there is a long-term equilibrium between the stock market and the stock futures market,two markets are bidirectional causality,restriction policy have greatly reduced the stock market volatility.Based on the present situation and empirical conclusions of China's futures market,this paper puts forward some relevant policy suggestions in last.