关键词: 监管限制, 跨市场风险, 正反馈

Abstract: In this essay, the cross-market risk events caused by temporary regulatory restrictions are discussed under the circumstances that markets are linked much more closely than ever before.
Over the past three decades, financial market risk events appeared one after another. Especially when facing sharp market crashes, financial regulators tend to urgently introduce a series of stringent regulatory restrictions to stabilize the market. However, it has been found that these temporary control measures can stabilize part of the market in the short term but may have a spillover effect on the associated market and lead to greater turbulence due to the tightening of financial markets, and also damage the quality of financial markets as a result.
During the mid-2015 market crash in China, the China Financial Futures Exchange adjusted three times during a short period (August 25, August 28 and September 2) the exchange margin, intraday open position and intraday close position fee, which aimed at controlling over-speculation trades. However, the trading restrictions on stock index futures were likely to further reduce the spot market liquidity, increase the spot market selling pressure, which may cause the formation of positive feedback effect, thereby increasing the futures and spot market abnormal fluctuations.
Based on this view, the VAR model is used to study the positive feedback effect between the CSI 300 index yield (CSI 300 stock index futures yield) and the volume. In the year 2015, a total of 23 intraday extreme market crash events are selected as the research sample (including 16 events before stock index futures trading restrictions, and 7 events afterwards).
Focusing on the strict trading limits implemented on the stock index futures market during 2015 market crash, it is found that liquidity shrank in the stock index futures, and a significant positive feedback between return and order flow lead to the self-actualization of extreme events. Institutional investors fail to hedge risk via stock index futures due to the strict trading limits, which strengthens the selling pressure on stock market and causes the market crash.
Therefore, regulators should comprehensively analysis the structure changes in the current market when using regulatory restrictions to avoid policy failure.

Key words: regulatory restrictions, cross-market rick, positive feedback