An Empirical Study On The Effect Of Restricted Trading On The Relationship Between Futures And Spot

Since the introduction of stock index futures in China’s capital market in 2010,and the relationship between stock index futures and spot price has been widely concerned by scholars at home and abroad.In August 2015,Chinese stock market experienced abnormal fluctuations,and the discussion on "rising and falling" of stock index futures became the focus.CFFEX issued a series of measures to restrict the trading of stock index futures to try to alleviate the crisis of unilateral decline in the market.With the stable market,the three major stock index futures have been deregulated four times in recent years.How effective these measures are,and whether they have further improved and perfected the positive interaction between the future and the present have aroused the academic discussion again.This paper mainly uses empirical research method,starting from the theoretical mechanism of the current price transmission mechanism and the impact of restricted trading on the transmission mechanism,selects the stock index futures and spot of China Securities 500 as samples,and 15 minutes data of 2015-2019 closing price and yield series,adopts the VEC model and IS model,and carries out staged regression according to the policy time node.The results show that:(1)there is a long-term equilibrium relationship between the futures prices,but the restrictions on trading reduce the market liquidity,which has a significant negative impact on the short-term price discovery function of stock index futures;(2)with the implementation of the deregulation policy in stages,the price discovery function of CSI500 stock index futures gradually recovers,and generally dominates the change of the spot price;(3)through the points of the current yield.The results show that in 2015,in the abnormal volatility of the stock market,the effect of restrictions on the " stop falling " of the China Securities 500 index is not good,but through gradual loosening,the asymmetry of the volatility spillover effect of the futures price on the spot price is gradually weakened.According to the empirical results,this paper believes that investors need to improve their understanding of the guiding significance of stock index futures price;the regulators should formulate an abnormal fluctuation response mechanism and appropriately increase and loosen the policy,further play the function of stock index futures,and promote the healthy development of the capital market.