Empirical Study On The Efficiency Of The Stock Index Futures Simulation Trading

Since 1982 KCBT began to trade the Value Line Index Futures, the Stock Index Futures has got rapidly developed in the Word-Wide. Many developed countries and developing countries launched their own stock index futures and most of them got success. With the Stock Index Futures market improving, it is more and more clear that the Stock Index Futures is important and indispensable for the developed financial markets. After more than 10 years development, our stock market has a considerable scale. It is urgent for the investors to have the tools just like the Stock Index Futures to avoid the systemic risk. In September 8, 2006, CFFEX (China Financial Futures Exchange Co., Ltd.) was set up in Shanghai. And it issued the Shanghai-Shenzhen 300 Index Futures Contract. In October 30, the simulation trading began. This paper focuses on the simulation trading and makes the empirical analysis on the trading data.Firstly, this paper introduces our country's Stock Index Futures market from the market structure, the design of trading system, and the design of contracts. Considering the characteristics of simulation trading, this paper focuses the two functions of Information Transmission and Price Discovery of the Stock Index Futures, and makes the empirical analysis on the two functions. In the second chapter of the paper, we introduce the relevant theories and models systemic. In the third chapter, we make the Unit Root Test with the price of spot and futures and make the co-integration test between them. Under the promise that there exist long-term co-integration relations between two price series, we analyze the causal relationships between them to study the lead\lag relationship and the function of Information Transaction. Subsequently impulse response analysis is used to study the Price Discovery between spot and futures. And then the paper uses variance decomposition to get the proportion of futures prices' variance and spot prices' variance in Price Discovery. Quantitatively portray the role of the futures market and the spot market in the function.Through analyzing the efficiency of the simulation trading, this paper studys the relevant characteristics of China's market. We hope it is useful for the launch of Stock Index Futures and effective operation.