Index Future Contract Denomination Effect And Experimental Trade Empirical Analysis

The stock index futures have been obtained attention and grown vigorously in the whole world. A lot of emerging markets in countries and areas offer the stock index futures one after another. It is necessary for the investors and research institutions to grasp the operation of the index futures in emerging markets, and contract design efficiency and the market design in the aspect of market microstructure. Minimum tick size or the contract value is an equilibrium between market liquidity and operation cost.What the exchange care is whether the experimental contract trade can guarantee the market liquidity, and can attract different participants, thus realize derivative products'hedging function. The research to the liquidity of stock index futures simulation trade in Shanghai futures exchange and the price discovery is valuable. This thesis mainly solves the above problem is through empirical research.This thesis is mainly divided into four parts:The part 1 includes two chapters. The first chapter explains the background and problems. The research to the contract design of stock index future is given with careful retrospect in chapter two.The part 2 refers to the index future contract influence in the third chapter of emerging market. The improved method is mainly used to study emerging market South Korea, India, and the Chinese Taiwan stock index futures market contracts'liquidity effect. Contract value and minimum tick size characteristic are combined to analyze the reason for liquidity difference.The part 3 is the main content. Transaction and volatility pattern on experimental index future contract is analyzed in chapter four. The price discovery process is also researched. Through the common factor model, order driving mechanism is exploited. The different traders'price discovery contribution is analyzed based on driving mechanism conclusion. Chapter six introduces primary study on margin requirement in contract design.The part 4 is the chapter seven with conclusion summary, policy suggestion, innovation and furthur research.