关键词: 股指期货 , 限制交易 , 信息传递 , 动态格兰杰检验 , 分位数回归

Abstract: From the perspective of information transmission in transnational financial markets, this paper analyzed the impact of the trade restrictions policy of Chinese stock index futures marketsEmpirical conclusions are as follows:The spillover effect of USstock index futures on Chinese stock index futures tends to enhance significantly after the trade restrictions of Chinese stock index futures markets, especially in the down marketChinese index futures overnight return influenced by USdaytime return is reflected as a Vcurve by using quantile regression modelThe impact of the negative impact from the USmarket on the Chinese market in a bear market has become greater after the implementation of the policyThe policy implication of the paper is that policy makers should liberalize the trade restrictions and increase the degree of market openness furtherBesides, it is important to consider the effect of the USstock index futures market in regulating local markets and the USmarket impact should not be ignored by local investors

Key words: stock index futures , trade restrictions , information transmission , dynamic granger causality test , quantile regression