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Research on the Impact of Stock Index Futures on Their Stock Market Efficiency

Author: ZhaoDeSheng
Tutor: LiJianYuan
School: Dongbei University of Finance
Course: Financial Engineering
Keywords: Stock Index Futures Volatility Information Transmission Efficiency GARCH Model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 48
Quote: 0
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Abstract


It has been almost 30 years since the birth of the first stock index futures that listed in Kansas City Board of Trade. Since then, stock index futures develop rapidly, and become the world’s leading derivatives at present. Along with the rapid development of Chinese economy and continuous improvement of financial markets, the introduction of stock index futures has become an inevitable trend. Singapore promoted the first stock futures with the Chinese stock for mark on September 16th, 2006, which made a significant impact on the dominance and pricing of Chinese stock market. In order to maintain the stability of domestic stock market, China speeded up the pace to promote stock-index futures.. After three years of preparation, HS 300 stock index futures contract was officially listed on Chinese financial futures exchange on April 16th,2010.Under this background, what is the actual effect of the two times of stock index futures on the market efficiency of our stock market, where are the disadvantages, how the stock index future market will be played better has become the focus of our attention.In reference on the basis of previous studies, this paper will combine theoretical and empirical analysis methods, compare and analyze the impact of two times of the stock index futures on the efficiency of Chinese stock market, mainly includes two aspects:(1)the impact on information efficiency of spot stock market, mainly link GARCH model with information transmission mechanism together, compare the information efficiency changes in our spot market from the introduction of two stock index futures. (2)the impact on the volatility of spot stock market, we use the modified TARCH model through the introduction of control variables in order to get rid of the influence of global macroeconomic factors on our stock market, also we introduce dummy variable so as to find out how the stock index futures influence the price volatility of stock spot market.Study results show that, on information efficiency, FTSE Xinhua A50 stock index futures doesn’t effectively improve the speed and quality of spot market information transmission. On the contrary, HS300 stock index futures reduce volatility persistence of spot market and speed up the information transmission speed, which is more advantageous to release market risk. On volatility, the introduction of FTSE Xinhua A50 stock index futures increase the stock market volatility, however, the introduction of HS 300 stock index futures play a certain advantageous role and stabilize the spot market, which hedge market risk effectively. Therefore, whether from the perspective of information transmission or the volatility changes, the introduction of HS 300 stock index futures obtain a relative accomplishment and play its due function successfully.Through analyzing the market efficiency influence of the introduction of the two stock index futures, this article provides some policy suggestions about improving the stock index futures market in the end.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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