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The Informational Efficiency Superiority of Stock Index Futures

Author: DengXingDong
Tutor: HeXiaoXing
School: Xiamen University
Course: Investment
Keywords: Stock index futures Information efficiency GARCH model
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 235
Quote: 2
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Abstract


Stock index futures is a stock price index as the subject matter of the financial futures contracts , spot market risk management needs of students , known as one of the greatest financial innovations of the modern capital market . October 30, 2006 , China Financial Futures Exchange introduced the subject of the Shanghai and Shenzhen 300 index futures , the CSI 300 Index has been running for more than two years . CSI 300 stock index futures all the preparatory work has been basically completed , ready to come out of China's first stock index futures . In this paper, launched on the eve of the CSI 300 stock index futures , to research stock index futures market relative to the spot market efficiency advantage , to in-depth understanding of the operational characteristics of the two markets and provide reference contact for investors and market regulatory authorities . The paper first defined the concept of market efficiency , starting from the analysis of the stock index futures market efficiency ( internal efficiency ) , its efficiency ( external efficiency ) advantage to do a qualitative anticipation , and in the main part of this judgment empirical research . Granger causality test , GARCH model and EGRACH model data based on the CSI 300 index futures , mainly from two angles of the rate of return and volatility of the price of the stock index futures and stock index features compare , and analyze stock index Futures market efficiency advantages . Can be found through empirical research : (1) the yield of stock index futures stock index yields lead - lag relationship exists ; (2 ) from the comparison of the coefficients of the wave equation , the reaction of the volatility of the stock index futures on the impact of information more quickly ; (3 ) the impact of the information in the \Therefore, regardless of the rate of price reaction information , or price reaction information quality point of view , the results prove the efficiency of the stock index futures market is higher than the spot market . Through the analysis of the actual situation , combined with the results of empirical research papers in the final policy recommendations on China's development of the stock index futures market .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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