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

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