A Study Of The Effect Of The Stock Index Futures On The Stock Market

Stock Index Futures is a kind of financial futures which is based on the stock price index. Its emergency has meet our peoples' needs of risk control on the spot stock market. Since the emerging of the first stock index futures contact in the USA in 1980s, the trading scale and the market influence of the stock index futures have experienced an exceptional growth, though it only has a relatively shorter span of 20 years' development history. And now it has become one of the most successful varieties of futures. The theory research and exploration about the stock index future at present has become a project that has a significant emprical meanings to the China financial research. Especially, the effect of the introduction of the stock index future on the fluctuation and the liquidation of the stock market has been highly cared.This paper elaborates the oriention and basic function of the stock index futures in the economics theoritically. Also, based on the supervisors' view and from the theory analysis and empirical research perspective, it makes an in-depth research into the effect of the stock index futures on the volitility and liquidity of the stock market. Then it compares the experience from the mature market of the stock index future. At last, it enlightens us and addresses the system designs.This paper makes a theory analysis of the effect of the stock index futures on the volitility. And it empirically analyzes the practice, such as the S&P500 stock index future of the USA and the KOSPI200 index of the South Korea. Through empirical research, the author finds the fact that after a relatively short period of introducing the stock index futures, the stock index itself is not very mature and it is volatile in the futures' market and in the spot market. However, in the long term, due to the maturities of stock index futures market, it will be less volatile.After a study about the liquidity, it discoveries that in the short term, there is a certain degree of substitution between the stock index futures and spot stock market that stock index futures in the initial listing may crowd out partial funds from the spot market. But, in the long run, the introduction may improve the liquidity of the stock market and gradually increase the trend from the experience of both developed countries and newly emerging countries or markets.The risk caused by the stock index futures indeed exists and the stock index futures is a double-edged sword. For stock market in a country, a timely introduction of the stock index futures can promote the healthy development of security market, while a hasty start may result in the volatility in stock market, even crisis. It is suggested to fully draw the lessons from the experience of foreign countries to get prepared for the introduction of the stock index futures and to perfect the function of the stock index futures on the financial market.Studies on Stock Index Futures at home and abroad mainly concentrates on the mature markets, while the emerging markets are not researched sufficiently. At the coming moments of the introduction of the stock index futures in China, the author believes that, through the empirical comparative studies on the abroad markets, we can gain valuable lessons. And then the author hopes to make certain contribution to the establishment of the Chinese featured socialism system and the developing market in China, which is this dissertation's core target.