The Impact Of Trading Restrictions On The Price Discovery Ability Of China's Stock Index Futures

China's stock index futures market is not developing for a long time.For emerging markets,a reasonable trading system is an important guarantee for their healthy development.However,after the stock panic in 2015,stock index futures were subject to strict trading restrictions,then it experienced several rounds of trading restrictions.In this context,exploring the impact of stock index futures trading restrictions on its price discovery ability is of significance for improving the trading system of stock index futures market and better playing the market function of stock index futures.This paper takes the 1 minute and 5 minute price series of China CSI 300 and CSI 500 stock index futures and their index stocks as samples.The sample period is from April 16,2015 to February 22,2019 and divide the study interval into five phases.The main conclusions drawn in this paper are summarized as follows:1.As a whole,both stock index futures have played the role of price discovery.The empirical results of the 1 minute and 5 minute data are consistent.2.The two stock index futures showed different price discovery capabilities as the trading restriction policy was adjusted.After the trading restrictions,the price discovery ability of the two stock index futures decreased significantly.After the first relaxation of the trading restrictions on the stock index futures,the price discovery ability of the two stock index futures did not rise.When the restrictions on stock index futures trading were relaxed again,the price discovery ability of the CSI 300 stock index futures increased significantly,while the price discovery ability of the CSI 500 stock index futures declined.After the third relaxation of trading restrictions on stock index futures,the price discovery ability of both stock index futures has increased,especially the CSI 500 stock index futures.The innovations of this paper are mainly reflected in: in the case of each round of relaxation,and in the case of strict trading restrictions and before the restrictions,the price discovery ability of the two stock index futures is compared horizontally and vertically,and the discussion is different under different trading restrictions.The stock index futures price discovery function and its changes.In this paper,four different price discovery contribution models are used to quantitatively analyze the price discovery function of stock index futures.The GIS model is currently used less.This paper compares and analyzes the results obtained by different models and different frequency price series to improve the conclusion.Comprehensiveness and reliability.