Abstract: Based on the positive feedback trading model and EGARCH model with stock index futures trading used as a dummy variable， the positive feedback effects of CSI 300 index market are tested. The test results show that the introduction of stock index futures has inhibited the positive feedback trading of CSI 300 stock market under the current information shock， but it has not eliminated the long-term dependence of positive feedback trading under the lagging information shock. The reason lies in that the introduction of stock index futures has changed the information response mode of the market， but it has not improved the information efficiency， that is， although the stock index futures market has played a leading role in responding to changes in market information， this change has not been passed onto stock market efficiently through the index arbitrage， which causes the lagging reaction of stock market to the new information. The investors' decision-making relies more on the lagged information， resulting in a significant lagging effect of positive feedback trading.

Key words: stock index futures, positive feedback trading, information shock