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The Empirical Study of the Effects of Hs300 Stock Index Futures on Spot Market Liquidity

Author: ZhangLi
Tutor: LiuJunQi
School: Liaoning University
Course: Finance
Keywords: HS300 stock index futures Spot market Liquidity Empirical analysis
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 235
Quote: 0
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Abstract


The stock index futures has developped for nearly 30 years, it’s hedging function and convenience in trading make it a preferred object of investors. In just three decades,stock index futures has become an important part of the national capital markets.April 16, 2010, as we are looking forward, HS300 stock index futures which has great significance on Chinese capital market launched. HS300 stock index futures is the first financial innovation of Chinese capital market,it provides a hedge tool to avoid systemic risk of the spot market.As the result,investors in China get rid the market predicament of long-term“unilateralism”.The launch of HS300 index futures brings great impact on the spot market in all aspets,this influence is reflected in the spot market volatility,liquidity and the method of investors and so on.In this paper,we begin with the detailed analysis of the transmission mechanism on how the stock index futures affect spot market liquidity in the theoretical level.The theoretical analysis includs the factors affecting spot stock price and the characteristics of stock index futures.Beside that,we also analyzes the practical experience about the typical developed market countries and emering market countries or regions and summed up three types of how the stock index futures affects spot market.In the after,we will use empirical econometic model to display how HS300 stock index futures fact stock spot market liquidity.And conclude that: the launch of HS300 index futures increased the volatility of spot market liquidity;the introduction of stock index futures reduce the average daily turnover of spot market,that it reduces the liquidity of spot market.Around the conclusion in paper,we make the reasonable policy recommendations on how straighten out the relationship between the stock index futures and spot market.The policy recommendations include three points:to strenghten the construction of stock index futures,to enhance the standardization construction of spot market and to propose the interaction between the stock index futures and spot market.

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