Research On Cross-market Surveillance Of Stock Market And Stock Index Futures Market In China

China's financial derivative market has come into a key stage since China Financial Futures Exchange(CFFEX) was founded in September 8, 2006. Because the scale of the securities market is expanding continuously and the extent of opening of capital market is enhancing, there are more and more demands of hedging by stock index futures. However, financial derivative market has the characters of high-risk and high-tech, and it has close relation with spot market, which make the actions breaking the rule deal with spot market. It is an important subject of China capital market to analyze the impact of the fulfillment of stock index futures to spot market detailedly and to research how to control financial risk of Cross-market.The stock index futures hasn't been implemented in China, so there are no real deal and correlative cases for reference. To avoid acting blindly, this paper combines theoretical analysis with Case Study , using Comparative Analysis and Summarized analysis .The paper analyzes theoretically the cause and form of actions breaking the rule, the characters and functions of stock index futures, and expatiates the characters and source of risk of the stock index futures and they bring the cross-market risk. Then it researches on the relativity of the stock market and the stock index futures market by analyzing the participators of the two markets; the research conclusion on stock market and stock index futures market home and abroad: Volatility, Expiration effect, the stock component Premium, the effects of crowding out funding ; Based on the market in possession of the stock index futures, this paper considers that the fulfillment of stock index futures can enhance the speed of information transfer and magnify the trading volume in capital market. So it is necessary to cross-market surveillance. Afterwards, through analyzing theoretically the manipulation forms of stock market and stock index futures market and learning from the surveillance experience between stock market and stock index futures markets of America,Taiwai,Hongkong, the paper researches on design principle and countermeasure of cross-market surveillance.In order to construct frame of information surveillance, the paper expatiates the responsibility of Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, China Securities Clearing Corporation, China's futures margin Monitoring Centre Corporation and association in cross-market surveillance. In addition, the countermeasures of cross-market surveillance from Macro to Micro, including whole process of cross-market exchange, are presented. The cross-market surveillance mechanism including defense, control and administering has the validity and feasibility.