An Empirical Study Of Relations In HangSeng China Enterprises Index Market And Futures Market

Stock index futures will be launched in China. Stock index futures must have an important impact on China's financial markets, especially on the stock market. To provide a reference, selecting Hang Seng China Enterprises Index futures in Hong Kong market, the paper studies the impact of the introduction of the stock index futures on the stock market.Selecting the close price of the Hang Seng China Enterprises Index in Aug. 8 1994 to Oct. 24 2007,we establish an AR (2)-EGARCH (1,1)-GED model and find that the introduction of the stock index futures has a significant impact on the volatility of the spot market, and there is a leverage effect. But when we weed out the Hong Kong's return, the 98 Southeast Asian financial crisis and other factors, we find that the introduction of the stock index futures has no longer significant impact on the volatility of the spot market, and leverage effect does not exist, but increases transmission of information on spot market.Selecting 5-minute spot prices of the Hang Seng China Enterprises Index and the prices of recent futures trading contract in Dec. 3 2007 to March 14 2008, we find that spot prices and futures prices have a stable cointegration relationship. Using a error correction model (ECM), we find that the spot market and futures market have a two-way impact, but the futures market leads the spot market.