Yuqin HUANG, an associate professor of the School of Finance, Chaoyang WANG, an associate researcher of National Academy of Economic Strategy, CASS, and Xiangxun CUI, a postgraduate student of Renmin University of China, co-authored the paper "Is the Control of Index Futures Effective?——from the Perspective of Spot Market Volatility" which was published in the 9th issue of "Studies of International Finance" in 2018. Xiangxun CUI was an undergraduate student of cohort 2013 in the School of Finance.
Abstract: In mid 2015, China's stock market experienced abnormal fluctuations. CFFEX has implemented policies such as increasing the transaction fees and margin to restrict index futures trading. This paper explores the policy's influence on the spot market volatility using Difference-in-Difference （DID） model. The results show that for both the CSI 300 index and the CSI 500 index, the policy significantly reduces the volatility of the spot market in the short term. The policy is more effective for stocks with a higher proportion of noise trading.
Keywords: Index Futures; the Spot Market Volatility; Market Rescue Policy; Difference-in-Difference