The Informational Efficiency Superiority Of Stock Index Futures

Stock Index Futures is a kind of financial futures contract based on the stock index.It was developed to meet the need of market risk management.and has been considered as one of the greatest innovative financial products.In China.the mock trading of HS300 Index Futures was put into operation on October 30.2006.and has been running for more than two years.Until recently,the main preparation work has been completed.and China's first Stock Index Futures is beginning to gain currency.This thesis examines the informational efficiency superiority of stock index futures market over underlying stock market.It goes deeply to study the respective running characteristics of these two markets and the relationship between them in order to provide useful information for investors and supervisors.First.we defined market efficiency,analyzed the operational efficiency(Internal Efficiency) of stock index futures market.based on which we make a qualitative prediction of its advantage in informational efficiency(External Efficiency).Then we did an empirical research on this prediction.Using the data of the mock trading of HS300 Index Futures contract.we conducted Granger Causality Test.utilized GARCH model and EGRACH model to compare the price features of Stock Index Futures and spot stock index from yield and volatility.With this information we analyzed the informational efficiency superiority of stock index futures market.Here came three main conclusions.(1) The Lead-Lag Relationship exists between the futures and the spot.(2) Coefficients of wave equations show volatility of the futures responds to information shocks more quickly than that of the spot.(3) Good news and bad news cause asymmetric responses of volatility of the spot.while no similar phenomenon was found in the futures.Therefore.both the speed and the quality that the price responds to news showed a higher informational efficiency of stock index futures market than that of stock market.According to the analysis of the empirical result.this paper puts forward some suggestions about developing stock index futures market in China.