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Research on the Impact of China Concept Stock Index Futures on Efficiency of Their Spots Market

Author: LiZuo
Tutor: DengJing
School: Nanjing University of Aeronautics and Astronautics
Course: Management Science and Engineering
Keywords: Stock Index Futures Market efficiency Price Discovery Cointegration Test Volatility GARCH Model
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 166
Quote: 2
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Abstract


Stock index futures are financial future which based on stock price index as its basic object. Over the past, most of the literatures in these were mostly researched about developed markets, while emerging markets are not yet many visits. In this new period, economic environment develops and changes, along with when China will introduct stock index futures timely, stock index futures research and exploration becomes an important direction in China’s financial research.Currently,stock index futures based on A share as the subject are mainly FTSE Xinhua A50 index futures in Singapore-listed and the launch of the HS300 stock index futures.These two are research objects. In view of their subjects have a common background of A share market, so we will defined them as "China concept".Based on Efficient Market Hypothesis, Market Microstructure Theory such modern finance theories, paper do comparison and empirical analysis about the impact of selected "China concept" on efficiency of their spot market.Mainly includes two aspects:(1)On information efficiency of spot market, mainly use impulse response function, cointegration theory and the general factorization model to do empirical analysis.HS300 can not play price discovery well, so it doesn’t increase the spot market information efficiency effectively; and A50 as a formal future has played a role in price discovery.It promotes transmission of information that can improve spot market information efficiency,though it is limited.(2)On operational efficiency of the spot market,the factors that influence market operational efficiency are many, so this paper mainly study on the volatility factor.Use daily trading data to establish some GARCH model to get the conclusion that introduction of "China concept" increased the volatility of spot market, as well as A-share market has a leverage effect.Normally new stock index futures will appear volatility increased in its non-mature.Although it limited increased,for that, futures on operational efficiency of spot market could not be serving as an effective role.It need a futher improved market.Through analyzing, this paper studies the relevant characteristics of sotck index and its future market. We hope it is useful for stock index futures formal lanuching and its effective operation.

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