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Based on CSI 300 index and CSI 300 stock index futures data, this paper analyzes the long-term and short-term equilibrium relationship by using the co-integration theory and the error correction model. Emphasis is placed on the analysis of the impact of regulatory policies on this equilibrium relationship. The empirical results show that: First, there is a long-term equilibrium relationship between China's CSI 300 stock index futures market and the corresponding spot market, and stock index futures have a strong ability to guide the spot market. Secondly, policy regulation has a significant impact on the discovery function and guiding ability of stock index futures price. The regulation not only affects the long-run elasticity of futures market to spot market, but also influences the basis of its price guiding function. Thirdly, policy regulation also has a significant impact on the co-integration mechanism of stock index futures and spot market. In the nonregulated state, stock index futures have a strong ability to guide the spot market, but this kind of guiding force changes stagnantly after the regulation. Keywords—stock index futures; structural mutation; policy regulation; volatility

proceedings of the 2nd international conference on economy, management and entrepreneurship (icoeme 2019)

Study on the Influence of the Stock Index Futures Regulation Policy on the Volatility of Stock Spot Market A Co-integration Analysis Based on the Structure Mutation of CSI 300