A Study On The Effect Of Stock Index Futures On Stock Market In China

This paper takes the stock index futures as the research object. The appearance of stock index futures is according to the demand of risk management of sotck market. Although having only more than 20 years development history, its transaction scale and market influence obtained rapidly growth. Stock index futures have became one of the most successful stock products of 20th century. Recently, following the question emergement that if China will prompt stock index futures, the fundamental research and explores of stock index futures have the important practical significance in Chinese finance research.We focus our research on the influence of stock index futures market on stock market, systemically studies the influence of introduction stock index futures to stock market. Based on the results of foreign country, we use the trial data of stock index futures in China in order to find the relation of the price of stock index futures and the price of stock off-the-shelf. And then because the situations of Hong Kong stock market are similar to Chinese stock markets, so we take Hang Seng index (HSI) and Hang Seng index futures price as the samlpe data. Based on the theories of econometric, we do empirical research on the long-term equilibrium between index price and index futures price. We hope to get useful conclusion and suggestion for the development of Chinese stock index futures market.The main conclusions of this paper are as follows: firstly, we put the discussion in the Chinese stock market, and we conclude that there is less volatility and it will not affect the trend of the stock market. Secondly, there exist long-term equilibrium between HSI price and HSI futures price. The error correction model shows that HSI price and HSI futures price have highly consistence.