2015年10月9日，中国金融期货交易所发布了关于程序化交易的管理细则，细则中对于高频交易采取了一系列限制措施。为了研究这种规则的改变所带来的高频交易变化对股指期货价格变动的影响，本研究以沪深300、中证500和上证50股指期货为样本，包含1128个交易日的沪深300股指期货日交易数据，以及中证500和上证50股指期货各980个交易日的交易数据。在消除了股票指数对股指期货价格的影响之后，对得到的价格变化指标构建GARCH模型，并以2015年10月9日为界，在条件方差方程中加入高频交易虚拟变量来衡量股指期货市场交易规则变化所带来的高频交易的变化，来探究高频交易与股指期货市场价格波动的关系。研究发现，股指期货交易规则变化之后，高频交易受到了相对严格的限制，进一步反映到价格变化上，股指期货价格波动率也显著降低。因此高频交易受限在一定程度上会减弱市场价格的波动性，对市场价格也起到了一定的稳定作用，并且这种影响在中小型企业表现更为明显。因此，对高频交易有必要进行适度监管，股指期货市场也需要更加完善的交易规则，有利于维持整个系统的稳定发展。

On October 9, 2015, the trading rules of stock index futures market were tightened, and the restrictions on high-frequency trading were also increased. In order to research on the influence of high-frequency trading on the price volatility of stock index futures, in this study, we collect daily trading data of three different stocks index futures, GARCH model is constructed after eliminating the influence of stock index markets. In addition, dummy variables were added to the conditional variance equation to measure the influence of HFT. It is found that after the restriction degree of high-frequency trading was tightened, the price volatility of stock index futures was significantly reduced, which means the restriction of high-frequency trading has an obvious stabilizing effect on the market price, especially on the small and medium enterprises. Therefore, it is necessary to conduct appropriate supervision on high-frequency trading, and the stock index futures market also needs appropriate trading rules, which is conducive to maintain the stable development of the whole financial system.