Abstract: Under the background of the gradual relaxation of trading policies in China's stock index futures market, this paper studies the changing characteristics of stock market quality, which provides empirical evidences for regulators to support and develop the financial derivatives. From a cross-sectional perspective of individual stocks, it matches index component stocks (sample group) and non-component stocks (control group). The descriptive statistics, difference test, and regression analysis indicate that with the release of trading policy, although the overall volatility of the market increases, the trading of stock index futures has an inhibitory effect on the volatility of component stocks. Stock index futures have a certain "transaction transfer effect" on the overall liquidity of the market, but the index component stocks are less affected. Based on the above results, it can be concluded that the more attractive stock index futures trading policy is to investors, the more conducive it is to improve the quality of the stock market and give full play to the role of stock index futures.

Key words: stock index futures, trading policy, market quality

摘要： 研究了在中国股指期货市场交易政策逐渐放宽这一背景下, 股票市场质量所表现出的变化特点, 为监管者进一步支持和发展指数衍生品提供了实证证据。从个股横截面角度,对指数成分股(样本组) 和非成分股(对照组) 进行匹配,通过描述性统计、差异性检验和回归检验等方法发现: 随着交易政策的逐步宽松, 尽管市场整体波动性可能有所增加, 股指期货交易对成分股的波动存在抑制作用; 股指期货对市场整体流动性存在一定的“交易转移效应”, 指数成分股所受影响更小。综合上述结果, 股指期货交易政策对投资者越具有吸引力, 越有利于改善股票市场质量、发挥股指期货应有的作用。

关键词: 股指期货, 交易政策, 市场质量