Effects of changing transaction costs on the futures' market performance and price discovery function

To discourage the intense fluctuations of stock index futures, CFFEX repeatedly altered its futures policy in 2015. This paper investigates the effects of transaction costs on the market performance and price discovery function of stock index futures. Increasing transaction costs will lead to a significant slowdown in market activity, but market volatility does not decrease. The leading role of futures on the spot is weakened, while that of the spot is enhanced. The price discovery contribution of futures decreases significantly, while that of the spot increases. Finally, the volatility spillover effect is statistically insignificant, but the relative degree has changed.