Research On The Market Function Diffrence Of Stock Index Futures Based On A Shares In The Domestic And Oversea

Compared with CSI 300 stock index futures officially launched in 2010 April, many China related stock index futures products in oversea have been listed transactions in order to meet the need of risk management of global investors who have invested shares of the Chinese listed Corporation in the influence of global financial market competition tide in recent years. Because the FTSE Xinhua A50 index futures directly use stock index composed by A shares as the underlying spot, it has been the most rapid development stock index futures in them, and ranks the first in the year-on-year growth rate of the annual trade volume at all of global stock index futures, its degree of development has basically reached the mature market level. Although CSI 300 stock index futures has been established nearly four years, during the period, relevant regulatory agencies and transaction management mechanism have done a lot of work in the construction of the market system and trading rules, but compared with the global mature stock index markets from the market maturity indicators, it still exists obvious deficiency. This paper aims at through a comparative research about the stock index futures based on A shares in the domestic and oversea, gives objectively evaluation of domestic stock index futures market at operation characteristics and market functions to provide the theoretical and strong efficiency empirical research reference for improving and perfecting the market rules and regulations, enhancing the market operation efficiency, promoting the deepening development of market.This paper is divided into seven chapters, the first chapter is the introduction, mainly introduces the background of selected topic, significance of the research, the research methods, the main contents of research, logical framework, the difficulty and possible innovation spots in the paper. The second chapter is the important theories and literature review related with stock index futures. This part will be used to explain the main theory related to the stock index futures market function, analyse the domestic and oversea existing research about stock index futures market functions, and make summary and commentary for the research status. The third chapter is the overview of global stock index futures market and the domestic and oversea stock index futures market based on A shares, it is started from introducing the process of development of the global stock index futures and the development trend, extending to the development background, causes, development status and operating characteristics of domestic and oversea stock index futures based on A shares. It aims to provide reference for following research through the analysis of differences. The fourth chapter is the research about domestic and oversea A shares stock index futures differences on lead lag relation and contribution of futures and spot price. According to CSI 300 stock index futures and the FTSE Xinhua A50 index futures, respectively research on the differences from the lead lag relationship to price discovery contribution between the futures and spot price. The fifth chapter is the research about domestic and oversea A shares stock index futures differences on volatility spillover effect. From volatility spillover effect, another dimension of price discovery to research the differences of domestic and oversea A shares stock index future. The sixth chapter is the differences research of hedging function about domestic and oversea A shares stock index futures. By Static and dynamic method, empirically research on differences of hedging function of CSI 300 stock index futures and the FTSE Xinhua A50 index futures. The seventh chapter is the summary, policy suggestion and prospect.Through systematic research, the main research results are summarized as follows:After researching on the development process and operating characteristics of stock index futures by the method of historical review and logical evolution, the main conclusion is, the current global stock index futures market shows the new development characteristics and trends, mainly including: first, the area of North America came back the first place in the rank of global stock index futures annual trading volume in 2013, after the place was taken by the area of Asia Pacific in 2008 for the influence of global financial crises. This means that the mature financial derivatives market have more attractive for the investers relative to the emerging markets in long term; Second, global stock index futures market scale has entered stable period. From turnover of 338 million hands in 2001 to turnover of 2.636 billion hands in 2011 which is the largest record in the history, till now, it always maintained at around 2.3 billion hands. It reflects that the global investors overall demand for stock index futures trading hase entered the stable period; Third, exchange competition appeared the trend of globalization; Fourth, offshore listing stock index futures emerge in an endless stream, many exchanges of the world have launched nearly 10 piece China related stock index futures products, which have taken an important impact and can not be ignored for the pricing of Chinese financial derivatives. Among them, the FTSE Xinhua A50 index futures which take the stock price index directly composed by A shares of listing corporation stocks as the subject has the most rapid development. The influence on the domestic market is the most obvious. The CSI 300 stock index futures have obvious differences in market operating characteristics compared with it. The differences mainly display in: first, in the contract design, the FTSE Xinhua A50 index futures contract has a smaller scale of each point value, CSI 300 index futures contract hase a relatively large scale of each point value. Every point value of the latter is close to 50 times of the former. In addition, trading hours of the FTSE Xinhua A50 index futures are more than CSI 300 stock index futures close to 13 hours. Second, in the trading rule, CSI 300 stock index futures transaction deposit ratio is higher, minimum deposit ratio is 12%, obviously higher than 6.5% of the FTSE Xinhua A50 index futures. Moreover, in the way of trading, the FTSE Xinhua A50 index futures set the trade based on price spreads for hedging needs of investors once the contacts cross months, it make the hedging transactions more efficient. Third, in the index about market structure of investors which is the most important index to reflect maturity of stock index futures market, the trading volume proportion of institutional investors in the FTSE Xinhua A50 index futures market is 2.6 times of the CSI 300 stock index futures market, and the ratio of volume/turnover position of the FTSE Xinhua A50 index futures market is only half of the ratio of CSI 300 stock index futures market.The following conclusions are obtained after empirically and entirely analysing on the differences of price discovery function for the CSI 300 stock index futures and the FTSE Xinhua A50 index futures. On the whole, the price discovery function of the FTSE Xinhua A50 index futures is slightly better than the CSI 300 stock index futures. In different market environment, there is obvious difference in price discovery function for both of them. The detail differences incluing: first, synthesizing performance of different market environment, the price leading ability of the FTSE Xinhua A50 index futures to the index spot is stronger than the price leading ability of the CSI 300 stock index futures to the index spot through observing the Grainger Granger causality test results. Second, after analysing the parameters of vector error correction model estimation results reflecting the long-term equilibrium relationship between futures and spot, CSI 300 stock index futures and FTSE Xinhua A50 index futures all take the leading position in the price relationship with index spot price when the market is in the upward trend or downward trend. But CSI 300 stock index futures reflect the price discovery ability is weaker than the FTSE Xinhua A50 index futures. When the market is in volatility trend, both of them are nearly same in the ability to leading price of index spot. By researching the stock index futures and spot own lag coefficients and cross lag coefficient of estimation results of the model which are used to reflect futures and spot price lead lag relationship in the short period, in the upward trend, the ability of the FTSE Xinhua A50 index futures price leading the index spot price is stronger than the CSI 300 stock index futures. But the ability of the CSI 300 stock index futures is slightly better than the FTSE Xinhua A50 index futures in the downward trend. Third, the calculation result made by the modified information share model based on vector error correction model displays, though both of them in contributions to market price discovery are larger than the corresponding index spot, but in different market environment, both of them are different in contribution degree of price discovery. When the market is in an upward trend, the FTSE Xinhua A50 index futures price discovery contribution is slightly strong. When the market is in a volatility trend, price discovery contribution degrees of them are slightly strong.But when the market is in a downward trend, price discovery contribution of CSI 300 stock index futures is stronger than the FTSE Xinhua A50 index futures. The conclusions which are taken from researching the volatility spillover relationship between stock index futures and index spot by the modified BGARCH-BEKK model in which the error correction item is introduced into volatility function display that there are obvious differences of volatility spillover relationship with index spot for CSI 300 stock index futures and the FTSE Xinhua A50 index futures in different market environment. When the market is in an upward trend, the volatility of CSI 300 stock index futures spill over to the index spot in the short term, but in the long term the volatility of CSI 300 index spot will spill over to CSI 300 stock index futures. While the volatility of FTSE Xinhua A50 index futures spill over to the FTSE Xinhua A50 index spot in both long term and short term. When the market is in a downward trend, both the CSI 300 stock index futures and FTSE Xinhua A50 index futures make volatility spillover to index spots in the short term and long term. But when the market is in a volatility trend, the CSI 300 stock index futures and the FTSE Xinhua A50 index futures with the corrresponding index spot perform the two-way volatility spillover.After empirical and entire analysing on the differences of hedging function about CSI 300 stock index futures and the FTSE Xinhua A50 index futures, the following conclusions are obtained. First in the the hedging performance determined by OLS, VAR, VECM three kinds of static model, the hedging performance of CSI 300 stock index futures is the best in VECM model, while the FTSE Xinhua A50 index futures in the VAR model shows the best in the sample period. Out the sample period, the hedging performance of CSI 300 stock index futures is the best in OLS model, but the FTSE Xinhua A50 index futures in the VAR model still shows the best. Second, in condition OLS, modified ECM-BGARCH, and DCC-GARCH three kinds of dynamic models, the hedging performance of FTSE Xinhua A50 index futures is the best in the modified ECM-BGARCH model in the sample period. Out the sample period, it is the same. While the hedging performance of CSI 300 stock index futures is the best in DCC-GARCH model in the sample period, out the sample period the performance is the best in the condition OLS. Third, in the whole, the hedging performance of the FTSE Xinhua A50 index futures is significantly stronger than the CSI 300 stock index futures in the static and dynamic modle both in sample period and out sample period. Another, in the comparison of static models, hedging performance determined by the VAR model is optimal in inside and outside sample period, and in the comparison of dynamic models, hedging performance determined by the modified ECM-GARCH model is optimal in inside and outside sample period. But for the CSI 300 stock index futures, in the comparison of static models, hedging performance determined in inside and outside sample period is different, the hedging performance determined by VECM is optimal in the sample period, while the hedging performance determined by OLS is optimal out the sample period. And in the comparison of dynamic models, hedging performance determined in inside and outside sample period is also different, the hedging efficiency determined by DCC-GARCH is optimal in the sample period, while the hedging efficiency determined by condition OLS is optimal out the sample period, the best hedging performance modle of CSI 300 stock index futures in the static and dynamic models is inconsistency in and out the sample period, reflects the stability of the hedging performance of CSI 300 stock index futures is weaker than the FTSE Xinhua A50 index futures.After summarize the reasonable interpretation conclusion of the empirical parts based on the research of the full paper, we can know that imbalance and immature of the market investors structure is the most important reason that the market function of CSI 300 stock index futures is weaker than the FTSE Xinhua A50 index futures. So, in order to romote the constant development and improvement of China’s stock index futures market, the following policies recommendations with more pertinence and effectiveness are put forward in this place. First, relax restrictions on market access of institutional investor, broad the participation of institutional investors in the stock index futures market. Second, gradually reduce the limitation of institutional investors trading mode, enhance the participation depth of institutional investors. Third, improve long hedging using ability of domestic institutional investors, promote the hedging function elaboration of the stock index futures market hedging function. Fourth, targetedly reform the transaction and contract rules, reduce transaction costs of investor in the stock index futures market. Fifth, enrich market transactions varieties, to meet the diversified needs of the investment risk management of investors.Today, although a lot of research results about the overseas stock index futures market, the FTSE Xinhua A50 index futures and CSI 300 stock index futures has been accumulated, but no matter from timeliness, objectivity, comprehensive and depth, those still have deficiencies in certain extent. And the research of this paper about difference of the domestic and oversea stock index futures based on A shares in of the market functions reflects innovation in the following points:First, in our country it is the first to make the comprehensive and depth contrastive research for the domestic and oversea stock index futures based on A shares from price lead lag relationship, price contribution of price discovery, and the volatility spillover relationship between stock index futures and index spot to hedging performance of stock index futures. And combine with the research conclusion, put forward the systematic policy suggestions from the system rule, contract product design and supervision mode.Second, in the research of price discovery market function of stock index futures, aims at the deficiency of previous research which only concern the statics performance of price discovery function of stock index futures in a certain time period, use new model and method to research the dynamic change characteristics of price discovery function of stock index futures and through the further hypothesis testing to ensure the robustness of the conclusions. In the research, improve the deficiencies of previous information share model, use the modified information share model to find the contribution degree of stock index futures and index spot. By the innovative modified BGARCH-BEKK model in which the error correction item is introduced into volatility functionto make the depth contrastive research to the volatility spillover relationship between stock index futures and index spot.Third, it is the first time in our country to use the real daily transaction data of the FTSE Xinhua A50 index futures and CSI 300 stock index futures to make systematic contrastive research to the hedging function performance of them by many static and dynamic hedging methods.