International Comparison Of Stock Index Futures Research - Models, Empirical Topics

The thesis examines the effects on both underlying stock market and related index futures market caused by the Stock Index Futures. S&P500, FT-SE100, Nikkei225, Hangseng and other index futures, especially those recently developed in emerging markets such as Korea KOSPI200 and TAIFEX index futures, are selected as samples for the purpose of empirical research and comparative study.Based on modern finance theories, among which the Market Microstructure Theory and the Efficient Market Hypothesis are the most important studies ranked by their great influence, the market efficiency can be described as the informational efficiency(also named as External Efficiency) and the operational efficiency(also called as Internal Efficiency),the market risk level can be measured by the volatility. The paper establishes the analysis structure in Chapter one. With Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model) and other econometric models, the paper carries out the empirical study on world index futures and related spot index samples, and presents some independent results. Therefore, the thesis is available to analyze how the Stock Index Futures influences the market informational efficiency, the operational efficiency and the market efficiency as a whole in Chapter Two, Three and Four, how the Stock Index Futures influences the market volatility in Chapter Five and Six. In Chapter Seven the conclusions drawn in former chapters are reviewed and they are applied to the China's Stock Index Futures research in Chapter Eight. The paper discusses the benefits and disadvantages caused by the introduction of the Stock Index Futures in China, finds that it will improve the market efficiency and China's competitiveness in world financial markets. After the feasibility study, the thesis suggests the plan design of the underlying index and index futures contract.