Research On The Prcing Efficiency And Price Discovery Of Index Future In Emerging Markets

With the development of China economy and the opening of financial fields, overseas financial market accelerated to develop finance derivetives with China concept. Now there are several stock index futures with China concept in overseas market. Faced with the pressure of Listing of stock index future in the overseas market, China Financial Futures Exchange was inaugurated on Sep. 8, 2006, and will launch the first product of HuShen 300 Index Future. The listing of index future with china concept in the overseas market will be likely to affect the environment of our security market and invest behavior of investors, Aggravate competition between exchanges, may arise arbitrage and illegal activities between domestic and overseas markets. The listing of index future in overseas exchange will affect domestic market from two sides including domestic stock market and index future listing in the future.The dissertation discussed the affection and impact of overseas listing index future to emerging stock market and future market using the methods of theory study and empirical analysis. The main content includes:According to limited-increase model and species-competing model in theory ecology, the paper study financial future market stability and evolution from the view of nonlinearity dynamic system. By joining quantity factors reflecting market microstructure, the study simulated the relations of product in market, established market structure evolution model. The analysis of model's stability gives the states and the conditions of market structure come into being. From the conclusion, the classical theory under equilibrium states was included, and the state of non-equilibrium market can be described as well.Financial markets in emerging countries are volatile and imperfect, so pricing model under traditional perfect-market frameset may not give reliable price of financial derivatives. The mis-pricing of cost of carry model inspires lots of following researches. The paper considered transaction costs, dividends, stochastic interest rate, stochastic volatility, market imperfection, and proposed a three-factor stock index future pricing model including stochastic interest rate and stochastic volatility of spot index with imperfect financial market framework.The pricing formula had not a close form solution. The paper used the finite difference method to approximate the solution for two-factor stock index future considering stochastic interest rate and market imperfection. By the using of cost of carry model, index future pricing model considering stochastic interest rate and index future pricing model considering market imperfection, the dissertation made an empirical study about mis-pricing of domestic index future and overseas index futures, and compared the pricing efficiency between them.After initiatory study of Gonzala &Granger(1995) and Hasbrouck(1995) about price discovery, two models attracted more and more attentions. Existing literatures seldom involved with multidimensional price discovery study, and most of researches were limited in the same underlying cash index. The paper study the price discovery mechanism between overseas listing index future, domestic listing index future and corresponding cash index using intraday and interday data.The research has its important signification. Firstly, it adopted a new angle to study competition evolution of finance futures market, and was helpful to describe the state of non-equilibrium market. Secondly, it enriched the theory system of future pricing model, and was helpful to compute the mis-pricing of index future in the emerging market. Thirdly, it was helpful to strengthen Chinese futures exchange's competition power, contend for finance resources and prevent from financial risk.