Study On The Impact Of Relaxing CSI 300 Stock Index Futures Trading Rstrictions On Stock Market Volatiity

In June 2015,China’s stock market suffered a cliff-like decline,and the shortselling stock index futures speculators were called the culprit.In order to stabilize the stock market,China Financial Futures Exchange subsequently issued a series of stock index futures control measures,resulting in stock index futures "deserved in name only".Since then,the stock market has gradually stabilized,but due to the lack of risk hedging of stock index futures,systemic risks are difficult to release,and market liquidity is gradually exhausted.In order to guide medium and long-term funds into the market,meet the risk management needs of investors and promote the function of the futures market,CICC has relaxed the stock index futures trading restrictions for four consecutive times from February 2017 to April 2019.In this context,the impact of the relaxation of stock index futures trading restrictions on spot market volatility has become a widespread concern for academics,regulators and market participants.The research on this issue can not only enrich the theoretical system between stock index futures and spot,but also provide relevant countermeasures and suggestions for regulators and market investors,thus promoting the stable and healthy development of stock index futures and spot market.This paper takes the Shanghai and Shenzhen 300 stock index futures as an example,combining theoretical analysis and empirical analysis to study the impact of the previous three times on the stock index futures trading restrictions on spot fluctuations.Firstly,based on relevant theories and market conditio ns,theoretically analyze the impact of stock index futures trading restrictions on spot volatility.Then using the event research method and calculate the event effect of the stock index futures trading restrictions by calculating the daily average abnorm al return rate and the cumulative abnormal return rate.At the same time,the daily yield data of the Shanghai and Shenzhen 300 Index were selected,and the GARCH model introducing the dummy variable was constructed to analyze the fluctuation of the Shangh ai and Shenzhen 300 spot market after the transaction restriction was relaxed.Then,the daily yield data of the Shanghai and Shenzhen 300 spot markets were selected.By constructing the VAR model and the quantile regression model,the impact of stock index futures trading restrictions on spot fluctuations was further analyzed from the perspective of stock index futures.The final conclusion is as follows:Relaxation of stock index futures trading restrictions will stabilize the spot market in the short term,but it will not be able to suppress its rising or falling trend in the long run.The effect of relaxing stock index futures trading restrictions on the suppression or aggravation of the Shanghai and Shenzhen 300 spot market volatility is very limited and will gradually decline over time.In general,the first relaxation of stock index futures trading restrictions reduced the volatility of the Shanghai and Shenzhen 300 spot market,the second relaxation of restrictions increased the volatility of the spot market,the third time the relaxation of restrictions on the overall impact of spot volatility is not significant.In addition,after the relaxation of restrictions,the impact of the futures market on spot fluctuations is less than before the relaxation of restrictions,while the spot market is subject to fluctuations in the impact of futures market fluctuations greater than before the relaxation limit.At the same time,the relaxation of stock index futures trading restrictions has improved the asymmetry of the impact of the Shanghai and Shenzhen 300 futures market on the spot market,especially reducing its “helping down” effect on the spot market in the extreme down market.