Empirical Study on Influence of Stock Index Futures Trading Policy Changes on the Linkage between Stock Index Futures and Stock Index

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Economic Management Journal

Economic Management Journal (EMJ) is an international open access journal, concerning about the latest research results of economic management. The goal of the journal is to provide a global forum for scholars and researchers in this field to exchange ideas and promote the theoretical and practical development of economic management.The journal receives manuscripts written in Chinese or English. As for Chinese papers, the following it... [More] Economic Management Journal (EMJ) is an international open access journal, concerning about the latest research results of economic management. The goal of the journal is to provide a global forum for scholars and researchers in this field to exchange ideas and promote the theoretical and practical development of economic management.

The journal receives manuscripts written in Chinese or English. As for Chinese papers, the following items in English are indispensible parts of the paper: paper title, author(s), author(s)'affiliation(s),abstract and keywords. If this is the first time you contribute an article to the journal, please format your manuscript as per the sample paper and then submit it into the online submission system. Accepted papers will immediately appear online followed by printed hard copies by Ivy Publisher globally. Therefore, the contributions should not be related to secret. The author takes sole responsibility for his views.

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Empirical Study on Influence of Stock Index Futures Trading Policy Changes on the Linkage between Stock Index Futures and Stock Index

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Author: Danyi Wang

Abstract: With the deepening of financial supply-side reform, the development of futures market has attracted increasing attention. China Financial Futures Exchange has issued a series of important policies to promote the prosperity and development of futures market dominated by stock index futures. In this context, this study selects the stock index futures trading policies issued by China Financial Futures Exchange in 2015, 2017 and 2018 as the main line. By analyzing the one-minute high-frequency data of CSI 300 before and after the implementation of the policies, this study explores the impact of stock index futures trading policy changes on the price discovery function of China's three major stock index futures markets. A VECM model is constructed to explore the linkage relationship between futures market and spot market. The results show that the CSI 300 stock index futures and stock spot market both show a significant two-way linkage effect. Restricted trading tests will inhibit the price discovery function of stock index futures, and relaxed policies can strengthen the price linkage between stock index futures and stock index.

Keywords: CSI300, Spillover Effect, Trading Policy, VECM

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