Abstract: Based on the data of China’s A-share market from January 2016 to March 2019, this paper makes a combined use of DID and multi-period DID methods to comparatively analyze, by testing the effect of overall, perioidc and monthly policies, the short-term and long-term pricing efficiency of stock market under the “deregulating” policy of stock index futures. The results show that, since the duration of the positive impact in the later period is significantly shorter than the negative impact in the earlier period, the “deregulating” policy of stock index futures presents a negative impact on the pricing efficiency of stock market in the overall sample interval, but as time goes by, the impact turns gradually from negative to possitive until the pricing efficiency keeps stably upward.

Key words: stock index futures, stock market crisis, “deregulating” policies, pricing efficiency