| Chinese stock market in the period from 2006 to 2008 is doomed to go down in history not only for its drastic fluctuations but also for its creating a nearly complete aggression to ordinary people's lives. Folks are dominated by a temptation and the Shanghai and Shenzhen stock markets expanded sharply. However, stock market could never be expected and risk awareness is always a theme need to be mentioned repeatly especially when this market is far to perfection.Start from 1990, Chinese stock market has experienced nearly two decades'development having formed a certain scale and gradually opened up to international capital with continuous reform. The capital market also begins to play an increasingly important role in our national economy. Yet compared to the international stock markets'two hundred years'history, our Chinese securities market is still emerging and immature, where the changes of stock price is not depend on the operating results of listed company completely. Overall, stock price in our market is influenced mostly by the policy, economic situation and public opinion, etc, and the current capital market is a single-species and single-operation market lacking of internal risk balance tool, which caused the systematic risk of the whole market accumulate continuously. However, with the completion of the split share reform, the marketalization of Chinese securities market is further strengthened and the financing security and future is gradually put on agenda. Those series of initiatives to help release the market risks is showing that the government wish to build a more sophisticated financial markets. On Sep 8th, 2006, China Financial Futures Exchange (CFFE) is formally established in Shanghai; On April 16th, 2010, our firty stock index future (SIF) Hushen300 Index Future is listed on CFFE, which marks the real start of China's financial derivatives market and becomes another milestone in the development of Chinese securities market."Stock Index Future", still a strange noun to our people, has demonstrated its sucess in risk aversing in the process of international financial transactions'rapid expansion and will further effect the Chinese stock market's development in a very long period of time but what trend it will be is still a question worth exploring in particular. But the studies about the mutual relationship between the SIF and spot market more focused on mature capital markets and less on the emerging markets like China's situation providing less direct theoretical support to our country. In view of this, with the expectations of the Hushen300 SIF's upcoming launch and the condition of its later list, the thesis chooses India, one of BRIC countries as China, which is one of the Asian emerging markets and has a similar situation like us, as a study object to discover the macro and micro connection features of SIF and spot market and make it play a certain role of reference to China's SIF's development.Firstly this article classifies and summarizes the domestic and foreign research results of the mutual relationship between SIF and spot market and points that the existing research focus primarily in the volatility and price discovery relationships between markets. Secondly the paper describes the characteristics and basic economic functions of SIF and analyses the mutual relationship between SIF and spot market theoretically. Starting with the reason why choosing India as the target market from space and self-characteristics aspects, the third part immediately makes empirical study on the mutual relationship between SIF and spot market with S&P CNX Nifty 50 Index and its SIF data as samples. First of all, the paper makes research on the volatility relationship between India markets taking GARCH model with a dummy variables and verifies the avoiding effects SIF to the systemic risks from various angles at the same time; Again the paper makes research on the price discovery relationship between India markets with Johansen test and Granger causality test based on VECM model. It concludes that: (1)Unsimilar with the study in matural market, the SIF helps reduce the volatility of spot market in a emerging country; (2)The price discovery function of SIF is increasing with the amplification of deal scale and market liquidity. Based on these conclutions, the study finally makes some forcast and expectation to HS300 SIF's pratical effect on our market combining with the actual situation of China's securities market. |
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