| Together with the gradual perfect of our country's finance market and continuous investment level of rise together, the market has gradual increasing demand of the finance developing product which has a set of period protects value function. The SSE of our country has begun to develop stock index future from November, 2004. And the Hushen300 stock index future was released formally on March 8, 2005.However, when our country was preparing the stock index future, Singapore trading post (Singapore Exchange Limited, SGX) released the first stock index future in the world with Chinese A stock as a mark --the Index Futures of the China A50 of the FTSE/Xinhua, though that was opposed by our country. In this case, the situation of the stock index future of our country is similar to the one of Taiwan that year. Thus the study of the stock index future effect of our country which appears on foreign land is very realistically valuable. Under this background, try to carries on a research on the influence of the market's field after releasing the Index Futures of the China A50 of the FTSE/Xinhua.The way of thinking in this article is as follows: firstly, the cause of the produce of the foreign land stock index future is discussed through the feature of the stock index future ,the developing history and the present situation of the foreign land stock index future , according to the cultural heritage .Secondly, the transaction contract of the Index Futures of the China A50 of the FTSE/Xinhua and the Hushen300 is compared, discussing the difference and analyzing the substantial evidence. Moreover, the motion and the price decision effect of the foreign land stock index future is discussed and the suggestion related is put up.The thesis cm is 4, concrete structure as follows:Chapter 1 firstly introduces the concept of stock index future, secondly reviews it's creation and developing period which contains four periods --born period, growing period, stagnation period, prosper period, then Tallied up stock index future function of discovering price and evading risk. After that it took a panoramic view of the circumstance that the global foreign land stock index future appearing on market. The stock of the country or region of the index number place of the stock's price with the developing production market is called a native market. The stock and developing production market whose contract is released in foreign countries whose stock index future appears on market are called foreign land market. On this foundation, we may study the causes of the stock index future appears on foreign land , Market need and international position and competition ability and fight list price power, is stock index future in foreign land. The global foreign land appearing on market to return a knot bottom is all benefits up of produce fighting. Border position and competition ability and fight list price power, is the reason of stock index future in foreign land.Chapter 2 introduces the develop process of the Index Futures of the China A50 of the FTSE/Xinhua and hushen300 stock index future briefly .After that, the importance of stock index future contract's design is stated, and the contracts of the Index Futures of the China A50 of the FTSE/Xinhua and hushen300 stock index future are compared. The result shows that, they are each to have good and bad in designing contract; the offensiveness of the Index Futures of the China A50 of the FTSE/Xinhua is stronger. And on the design of contract, pay more attention to the habit and invest station of international investor. Hushen300 stock index future is steadier. Although using smaller investment lever, however, it matches Chinese native circumstance better. The two markets adjust the process of contract correctly and also well considered an international and native and actual circumstance.Chapter 3,the textual research content contains the motion of the Hushen300 stock index future produced by the Index Futures of the China A50 of the FTSE/Xinhua and the effect produced by the latter to the former in the list price power.Before the analyzing of the motion, choosing the data of the study content, which are the close prices of May 8, 2005 index number and March 10, 2008 index number, totally 625 pieces, during the process of selecting data, data sequence is divided to three stages. The whole study zones is defined as T stage and define the period before and after the foreign land stock index future appears on market as T1 and T2 Stage. The handle to take the return rate of the Index Futures of the China A50 of the FTSE/Xinhua and hushen300 stock index future .Though the unit root examination to two sets of data by ADF and PP to confirm it can set GARCH(p,q)mold. In this text, GARCH(1,1)mold chosen is concretely mean as follows,To analyze the motion effect of stock on hand through stock index future transaction, an outside changing measure is bring in to reflect the influence of the factor during the condition square difference square distance. The condition square difference square distance is as follows:Here DF which is a subjunctive changing measure gets number 0 before the stock index future transaction is carried out, but gets number 1 after. The influence of the release of stock index future to motion of the stock on hand market is obviously, if the statistics examination of the DF coefficient is obviously. The analytical result of the basis substantial evidence shows that the coefficientλisn't obviously to T stage. And we can conclude that the release of the Index Futures of the China A50 of the FTSE/Xinhua doesn't result obvious motion influence of the Hushen300 stock index future .However ,during the process of analyzing T1 and T2 stages, The speed of information spreading is increased by the foreign land stock index future .In the second part of the substantial evidence analysis, the cause and effect relation of two markets which is investigated by the Granger. Accordingly, we can conclude whether our country's A stock market price decision is influenced by the release of the Index Futures of the China A50 of the FTSE/Xinhua. Generally speaking, A50 is the Granger cause of the Hushen300 changing, but Hushen300 is not the Granger cause of A50.That means the motion of the Index Futures of the China A50 of the FTSE/Xinhua Index number price has a leading function to the Hushen300 and A stock index future appearing on Singapore market has side effect to the price decision power of the A stock market. Chapter 4 is some advices about the developing of the stock index future of our country. Above all according to the study before, we can conclude that though the release of the foreign land stock index future has some effect to the stock index future of our country, it also brings some enlighten function. At the same time, the foreign land stock index future has warned us to prevent the crash from the capital market of our country. For that we need to accelerate to improve the capital market system, make each link has strong regulating function, make higher request of the policy and the law. And we should take preventive measures, draw lessons from the actions of the developing of the foreign market develops an article market so that the finance develops an article market could develop steadily and swiftly. Thus this article put forward a policy suggestion and conclusion combing the inspection condition of our country current stock certificate and futures market, which is the united supervision across the market. The writer suggests accelerating the practice of the supervision across the market so that stock certificate and futures market of our country could be supervised effectively. |
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