Abstract: Based on the asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) model and positive feedback trading model， the positive feedback trading in China’s A-share market is tested. The results show that positive feedback trading in the stock market reduces after the launch of stock index futures， whose cause lies not in the improvement of market information efficiency， but in the positive feedback trading migration from the stock spot market to its futures market， that is to say， stock index futures play a role mainly in the transference of positive feedback trading. This conclusion is different from the previous optimistic evaluations on China’s stock index futures. The results also show that investors’ risk aversion has a negative correlation with the intensity of positive feedback trading， that is to say， positive feedback trading shows significant risk seeking preference. Although the strict constraints on stock index futures may reduce the coupling effects between the stock spot market and its futures market， it can’t change the risk seeking preference for positive feedback trading， so the relevant system arrangements should focus on the improvement of information efficiency instead of volatility suppression.

Key words: stock index futures, stock market, positive feedback trading, information efficiency, risk preference