Research On The Impact Of Stock Index Futures Market On Spot Market

The Chinese Stock Market and Stock Index Futures Market suffered fierce slump since the middle of June,2015,and the role of stock index futures received wide attentions during this period.The specious viewpoints which are lack of scientific analysis spread via the mass media,and caused a serious interference on the markets innovation and development.This paper is trying to utilize practical data to interrupt the recent phenomenon of stock index futures market,and investigates the relationship between stock index futures market and stock market by scientific financial econometrics and analytical tools,so that promote all sectors of society a more objective view of the stock index futures,and also provide a factual basis for the regulators making policy.Firstly,this paper pays attention on the phenomenon of the persistent negative basis between stock index futures price and stock price during the suddenly markets slump period,and analysis the phenomenon of such severe negative basis of stock index futures and also the reasons hiding behind.After then,according to the two intuitions about the stock index futures causing the decline of spot market among investors:leading the price drop and fluctuation increment,this paper applies the researches on the lead-lag analysis and also the volatility spillover analysis between the stock index futures and spot.Finally,due to the above studies are focus on the onshore stock index futures market,and lack of the consideration on the impact on spot market from offshore stock index futures market.Another comparison analysis is carried out to perfect the overall research framework construction.The research results explore:(1)The main reasons of such negative basis phenomenon are the imperfect market mechanisms,such as the stock short-sale constraints,lack of hedging tools and the distortion of market index caused by a large number of stocks suspensions,rather than the so-called malicious speculative short sellers.And then,the three operational channels for the impacts on spot prices caused by the discounted futures are going to be analyzed,the statistics data shows that the channel of reverse arbitrage is almost blocked,and the alternative investment channel only has a limited amount,although the psychological influence channel might exist,none of the objective factual basis could be found.Therefore,it shows a lack of effective physical transmission mechanism between stock market and stock index futures market,and there is no sufficient factual evidence could support the logic of decline of stock market is led by stock index futures.(2)Applies the dynamic simultaneous equations to test on the lead-lag relationship between the price changes of futures and spot,and the results show there are a high correlation on the current earnings yield for the interaction relationship of the prices of futures and spot;however,the cross-correlation of the lagged order is much less than the current earnings yield.As a result,it shows both of the futures and spot markets are driven by the common factors such as macroeconomic fundamentals,and the stock index futures is not the primary cause to determine the tendency of spot.Although the economic significance is not existed,the price change of futures does asymmetrically precedes the spot index in a statistical sense,which might reflects the futures has a more fast speed to absorb the new information.In order to verify this inference,two of the Information Share(IS)models are adopted to test the contributions of futures and spot markets during the price discovering process,and the result indicates the information share of the stock index futures is significantly higher than the spot index.Therefore,the prior change of futures price does not indicates the tendency of spot,and only examines that the futures market has higher information efficiency.(3)Constructs a theoretical model based on heterogeneous investors,and forecasts introduce of the futures market with higher information efficiency might intensify the short-term fluctuation of spot market;but has a leveling effect on the long-term excessive volatility.In fact,there is a unified inherent cause:in the short term,the higher information efficiency means the faster speed of information-flow which brings relatively bigger short-term fluctuation;whereas in the long term,the faster rate of information-reflection might weaken the formation of the short-term trend,and avoid the positive feedback traders buying when the price is up and selling shares when the price goes down,so that reduce the long-term excessive volatility of stock market.The following empirical studies give the supports on the theoretical model forecast:initially,the activities of positive feedback traders reduce significantly in the stock market after introduce of stock index futures,this conclusion is not only matching to Chinese market,but also consistent to the practical investigations of the other 16 foreign leading markets;then,the method of panel evaluation is utilized to test the five and half years data before and after introduce of stock index futures,the result shows introduce of stock index futures significantly reduce the long-term fluctuations under the condition of the exclusion of other influence factors,the estimated decreasing amplitude is about 10%.(4)On the environment of the highly comovement of global capital markets,Chinese stock market is not only impacted from the Chinese stock index futures market,but also influenced by the offshore stock index futures markets.The recent development of Singapore A50 stock index futures is concerned in this paper:during the stable period of Chinese market,the trading volume and information share of A50 stock index futures are significantly lower than that in Chinese CSI300 futures,but the price volatility of A50 stock index futures is significant higher;In the 2015 Chinese stock market abnormal fluctuation period,the trading volume and information share of A50 stock index futures were even remaining stable,however the price volatility became more fierce,the intra-day drop was even exceed 27%.In addition,the information efficiency of Chinese CSI300 futures was still having the advantage with the comparison of A50 stock index futures.However,the Chinese regulators were implementing the stringent measures on the limitation of Chinese stock index futures trading from the August,2015 to September,2015,which caused the shrink of CSI300 futures trading volume and opening positions,and the function of price discover was also decreased obviously with the comparison of the A50 stock index futures,the information share of CSI300 futures was below 60%for the first time.