The Influence Of Restrictive Policy On The Price Discovery Of Shanghai 50 Stock Index Futures

Futures trading,as an important way to promote economic development,promote financial integration and horizontal economic links,plays an important role in our country.Since August 25,201 5,CFFE(China Financial Futures Exchange)has issued a series of strict control policies.In order to restrain over-speculation in futures market,we should adjust the limit standard of open position in stock index futures,raise the standard of trading margin,raise the standard of closing fees,and strengthen the management of long-term untraded accounts in stock index futures market.Restrictive policies control the bad behavior of excessive speculation to a certain extent,but with the decrease of liquidity,the function of stock index futures price discovery is significantly affected.In view of this,this paper incorporates the impact of policy introduction into the study of the price discovery,function of stock index futures,and explores the price guidance relationship between the Shanghai 50 stock index futures and the spot of the Shanghai 50 index under different policy environments,as well as the exertion of the price discovery function,so as to have a better understanding of the market.This paper can be divided into four parts:The first part is the first chapter,which introduces the background of the topic,the content of the article,the logical structure and specific research ideas,and points out the innovation and deficiency of this study.The second part is the second chapter and the third chapter.This part is the theoretical basis of the follow-up research,theoretical analysis and current situation analysis.The second chapter first reviews the existing literature in the follow-up research,which is summarized from two aspects:foreign research and domestic research.Then the introduction of relevant system and theoretical basis.The third chapter introduces the development of stock index futures and the implementation of the subsequent series of restrictive policies.Secondly,this paper analyzes the mechanism of the influence of restrictive policies on price discovery,mainly from the aspects of performance ability,market liquidity,market volatility and investor sentiment,and introduces how restrictive policies affect futures price discovery function.The third part is the fourth chapter,which is the empirical part of this paper.Firstly,the hypothesis is put forward,including that the restrictive policy affects the short-term guidance of the price of Shanghai 50 stock index futures,and the restrictive policy weakens the long-term leading position of the Shanghai 50 stock index futures in the price discovery.Restrictive policies are not conducive to the contribution of SSE 50 stock index futures to price changes,and then the choice of models that test the function of price discovery.Then using the selected model to carry on the empirical research to the price discovery function of Shanghai Stock Index Futures 50 before and after the restrictive policy,and compare the different efficiency of the price discovery function in three different stages.Explain the restrictive policy to Shanglhai 50 price discovery function impact,verify the hypothesis is validThe fourth part is the fifth and sixth chapters.The fifth chapter mainly compares the development process of restrictive policy of Nikkei 225 Stock Index Futures with that of China stock index futures,which has certain enlightenment significance for China.Chapter 6 summarizes the conclusions of the study,and puts forward some policy suggestions for effectively promoting the long-term development of China's stock index futures market in the light of the current situation of China's market development.The innovation of this paper is as follows:from the point of view of the research object,the selection of the research object takes the latest Shanghai Stock Index Futures and its latest data as the research object;From the perspective of research methods,this paper uses error correction model,variance decomposition and so on to carrxy on the comprehensive and reasonable empirical analysis to the samples;From the point of view of the research content,this paper divides the data into two different stages according to the policy implementation,and studies the price discovery ability in different stages.Up to now.few literatures have been found to study the impact of stock index restrictive policies on price discovery in detail,which is of great significance to the study of the efficiency of China capital market.The deficiency of this study is that it is impossible to strip off the effect of external factors other than restrictive policies on the price discovery function in different observation periods.In addition,in view of the intensive implementation of restrictive policies,it is not possible to analyze the effects of individual adjustment policies to distinguish the impact of individual adjustment policies on stock index futures.