Should stock index futures be restricted during a stock market crisis, and how do such restrictions affect the relationship between stock index futures and the spot market? It is important to systematically evaluate whether these restrictive trading measures have sufficiently solid regulatory motivation and achieve their intended effects. To fulfil the above task, empirical research is required from multiple perspectives, including the price lead-lag relationship and the volatility spillover between stock index futures and spot prices. This study aims to quantify the impact of regulations restricting the trading of stock index futures on the relationship between stock index futures and spot prices in terms of the lead-lag relationship and price discovery function.We use the information share model (I-S model) proposed by Hasbrouck (1995) to test the price discovery function of the stock index futures. To further test their effects on the stock market under different market conditions and whether stock index futures can play the role of boosting or depressing prices we also introduce a quantile regression method.Using high frequency data from the CSI 300 index and the corresponding stock index futures in China, this study investigates the influence of the restrictive trading regulations during the 2015 Chinese equity market crisison the relationship between the Chinese stock index futures market and the stock market. We divide the research sample into two stages, pre-and post-restriction, and examine the relationship between stock index futures market and spot stock market prices in three samples: the whole sample, pre-restriction, and post-restriction.Using the I-S, P-T, and quantile regression models, the empirical results show that before the trading restrictions were implemented, the stock index futures had a greater impact on stock market prices, especially during the sharp price decline. Because the large increase in transaction costs on the futures market reduced the information share and component share weightings of the futures market, the restrictive trading regulations weakened the influence of the futures market on the stock market, changing the mode from "depressing more than boosting"and thus enhancing the effect of stock index futures in lifting the market.The potential contributions of this paper are as follows. First, to our knowledge, this is the first study to directly investigate and quantify the impact of restrictive futures trading regulations on the relationship between stock index futures and spot prices. It provides direct empirical evidence for the transaction cost hypothesis of the price discovery function of stock index futures. This study also takes advantage of the restrictive trading regulations during the stock market crisis in 2015, which led to a sharp rise in transaction costs of stock index futures, and directly observes and quantifies the resulting impact on the relationship between these futures and spot prices. Therefore, this study can be regarded as a direct empirical analysis of the transaction cost hypothesis supporting the price discovery function of stock index futures, compared to the indirect evidence provided by previous research. Second, this study helps to assess whether such restrictive trading regulations have regulatory effects during a stock market crisis. From the perspective of policy design, the restrictive measures of regulatory authorities on stock index futures trading during the stock market crisis produced certain expected effects, that is, the restrictive trading regulations did weaken the impact of stock index futures on the stock market, and to an extent changed the asymmetric effect of "depressing rather than boosting, " thus enhancing the impact of stock index futures on the stock market when prices rise. Furthermore, compared to Miao et al. (2017), who provide empirical evidence from the perspective of volatility spillover between stock index futures and the spot market to measure the regulatory motivation of restrictive trading policies, this research provides empirical evidence to measure the regulatory effects from the price lead-lag perspective between stock index futures and the spot market.%本文利用2015年中国股市大幅下跌期间, 对股指期货严格限制交易政策这一独特事件前后的高频数据, 研究限制交易政策对股指期货与股票市场价格引导关系的影响.利用I-S模型和分位数回归方法的实证结果表明:限制交易政策实施前, 股指期货对股票市场的价格影响更强, 尤其表现在价格急剧下跌时期;限制交易政策显著增加了期货市场交易成本, 从而降低了期货市场的信息份额, 削弱了其对股票市场的价格影响, 并且改变了期货价格对现货价格"助跌强于助涨"的影响模式, 增强了股指期货在价格上涨时对股票市场的影响.研究结果一方面直接量化了期货交易成本变动对其价格发现功能的负面影响, 另一方面也从价格引导关系的视角提供了股市危机时期股指期货限制交易政策监管效果的实证证据.
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