Research On Effectiveness Of China Emulational Stock Index Futures Market

With the HuShen300 Index has been established as the subject of stock index futures, stock index futures of our country has been put on the agenda. But, China's stock index futures market is late-started, lack of experience. So the government carried out emulational stock index futures trades before the formal launch of stock index futures in order to find the problems and accumulate experience for the formal launch. The study of the effectiveness of emulational stock index futures market will help us to understand the microstructure and the intrinsic characteristics of China's emulational stock index futures market. Furthermore, it also has important theoretical and practical significance in promoting the construction of our stock index futures markets, and improving the level of theoretical research.Based on the efficient market theory, this thesis uses the empirical analysis methods to study the distribution of the HuShen300 stock price index, and then demonstrates the existence of the effects in the date-closing index time series. The thesis also describes the volatility characteristics of the HuShen300 Index using the new method of adjusted realized volatility with high-frequency data. The GARCH (1, 1) model and the ARFIMA (1, 0.1328, 1) model researches show that there is high continuity characteristics in China emulational stock index futures market. Meanwhile, it demonstrates that the emulational market is high risks and hasn't reached the weak-form efficiency yet. Finally, based on the empirical analysis the thesis analyzes the performance and reasons of weak-form efficiency in China and puts forward concrete measures to solve the problems, in hope of providing useful policies to help the government to regulate and develop the stock index futures markets.