Empirical Study On The CSI300Index Futures Market Characteristics And Function

Stock index futures plays a significant role on financial market structure, it is the cornerstone of financial market development and improvement. In16th April2010, our nation formally launched the csi300stock index futures which was marked to CSI300index. Before stock index futures had been launched, China’s stock market was an unilateral market, which could only buy stocks while could not make a short, the market investors bought the stocks when market had good anticipation and sold them when anticipation worse. These actions might cause a rapid fluctuation, at meantime, cause a enormous systemic risk. Stock index futures realizes a shorting mechanism, helping our country’s capital market structure becomes more perfectly, prompting the formation of an impeccable and multilevel financial market system. Generally speaking, stock index futures market has three main functions: arbitrage, price discovery and hedging, separately. This paper aimed at stock index futures, practically analyzed the characteristics and function of csi300stock index futures market. The dissertation is consisted with four parts; the methods of the model and the main conclusions are shown below:The first part of the dissertation is mainly about the price characteristics and the arbitrage function of csi300stock index futures in China. The no arbitrage pricing theory had been used in the research which was based on The Cost of Carry Model. The transaction cost, the impact cost, the short-selling restrictions and the adjusted interest rates had also been considered; utilizing these factors, the no-arbitrage interval of stock index futures had been deduced. Using stock index futures’daily data and five minutes of high frequency data, the pricing errors and the influence factors of pricing error range had been empirical researched. The studies indicate that the price of csi300stock index futures was on the high side during the most time, if the arbitrage cost had been considered, the price of stock index futures was efficient during the most time, however when a sharp fluctuation happened in the stock market, Stock index futures would have a rapid pricing errors. Looking from the factors, which influence stock index futures pricing error range, the more period from deadline the more error pricing would have, and the more rapid fluctuation of market the more serious pricing error would have. The aggregate gross position of stock index futures had not an apparent effect on the pricing error; the impact to pricing errors, which was caused by raise interest rate, had been decided by the date of the regulation of interest rate.When csi300stock index futures had the pricing errors, investors could get profits without risk through arbitrage. Therefore, this dissertation studied the CSI300stock index arbitrage point and the size of arbitrage profits. The research illustrates that the price of CSI 300stock index futures mostly fluctuate in the no-arbitrage range, stock index futures had not exist arbitrage opportunities and pricing was effective during the most time. But in the stock market fluctuations by a wide margin of period of time, stock index futures cashed and carried arbitrage opportunity, stock index futures existed pricing errors at this time. Arbitrage opportunities mainly appear in csi300stock index futures launched in the early period (IF1005and IF1011), with the stock index futures launched the extension of time the arbitrage opportunities almost disappeared.The second part of the study researched stock index futures price discovery function. The5minutes high frequency data had been used to establish vector error correction model, displayed stock index futures and spotted index had a long Co-integration relationship. When information impact occurred, the adjustment range of stock index futures was more apparent, showing that stock index futures market in price discovery was stronger than the spotted market’s. Then, IS and PT model had been adopted to calculate the information share. The result also showed that stock index futures was in the leading role. Finally, with the variance decomposition and the impulse response function, this part discussed the generation and transmission of information between csi300index futures and spot index.The third part of the dissertation researched the daily return series related characteristics between csi300index and csi300stock index futures. The established Copula-GARCH (1,1)-GED model empirical research shown that the related degree between CSI300index and CSI300stock index futures was very high. According to different standard, there was different Copula model could be chosen to describe two sequences related structures. The two series had high related degree in tail related show that when the stock market wide fluctuating, the correlation between CSI300index and CSI300stock index futures increased sharply.At last, the dissertation researched the stock index futures hedging function. The optimal hedging ratio based on VaR and CVaR method had been deduced, which used Made CVaR and VaR as the hedging objective functions. Then, the effectiveness of hedging with CSI300stock index futures had been examined. The empirical results shown that stock index futures hedging model, which was based on VaR and CVaR, could effectively reduce the portfolio risk, and could also get a better total return. On contrary, stock index futures hedging model, which was based on the CVaR, could better control portfolio risk; stock index futures hedging model, which was based on the VaR, could get better total return.