Abstract: With the gradual relaxation of trading policy in the stock index futures market, this paper studies the changing characteristics of the investors’ trading behavior in the stock index futures market and the quality of the stock market, as well as the relationship among the investors’ behavior and the volatility and liquidity of the spot market. Based on the daily market data of CSI300 stock index futures and CSI500 stock index futures and their underlying indexes from September 7, 2015 to September 6, 2019, the following two parts are studied: First, build indicators to reflect the activity of investors using stock index futures for different types of transactions, and then study the impact of policy changing on trading behavior. Second, establish simultaneous equations to study the relationship among investors’ trading activity, stock market quality and the trading policy in the stock index futures market. Through descriptive statistics, difference test and regression test, it is found that: Firstly, the looser the trading policy, the more active the investor’s long-term trading (hedging), the less active the investor’s overnight trading (speculation), and the more active the stock index futures market on the whole level. Secondly, although the more active the stock index futures trading, the stronger the volatility of the stock market, the restraining effect of stock index futures on volatility has also increased with the gradual easing of trading restriction. Thirdly there is “transaction transfer effect” between the overall trading activity of stock index futures and the liquidity of the stock market. At the same time, there is “incremental effect” between the hedging activity and liquidity. In summary, the more attractive the trading policy is to investors, the easier it is for stock index futures to play its due role and basic function and improve the quality of stock market. In contrast to the pre-existing studies, it focuses on the main-board and the small and medium-sized board markets at the same time, and phasically characterizes the role played by index futures in recent years under the Chinese financial system, providing empirical support for regulators to further develop and open index derivatives.

Key words: stock index futures; trading policy; market quality; investors’ trading behavior