| Abstract | The classification and identification of trade motivations behind the markets is the key to understand the spot-future market relations. With high frequency data, our paper identifies and tests four kinds of trading strategies that may lead to spot-future market interactions, namely arbitrage, hedging, market manipulation and sentiment contagion. After a division of the full sample according to the climax of CSI 300 index since the introduction of stock index futures, we find a one-way arbitrage during the normal trading period, that is, to buy in the spot and sell in the futures. We also find a hedging effect of the stock index futures which can alleviate the selling shocks to the spot market, but the selling pressure may be transmitted to the spot market again as soon as the futures are sold at a discount. The amounts of financing and security lending don’t match the demand for funds and assets of arbitrage trading, but show a substitution effect to the stock index futures. During the stock market turmoil, we find no significant relations between the spot and future market except for the stock replacement strategy which replaces the stock positions with undervalued stock index futures. What’s more, we find no evidence supporting the hypothesis of cross-market manipulation and sentiment contagion. |