Study On The Irrational Behaviors Of Investors Of A Shares Stock Index Futures Based On Efficiency

Since HS300 index future trading simulation was introduced in mainland of China in 2006, its exchange system and mechanism have also been improved. But it is a normal phenomenon that trading simulation prices fluctuation exhibits uncertainty. For example, the price of HS300 index future fluctuates according to abnormal volatility of A share stock market from the latter half of 2007 to the first half of 2008. The excess volatility of A share market is harmful for market development, and also brings a number of risks to investors. Therefore, many researchers pay attention to the efficiency of A share index futures. But existing studies of stock index future efficiency mainly focus on the price discovery ability or volatility, and ignores causes of less efficiency of A share index futures. This paper thinks that it is necessary to analyze factors to affect index future efficiency. We studies reasons of trading systems design and irrational behaviors of investors.This paper mainly studies on the efficiency of A share index futures from the view of qualitative and quantitative aspects basing on behavioral finance theory, and analyzes the causes of trading systems and investor behaviors.The paper consists of five chapters. Chapter 1 is"Introduction". This part introduces research background, significance and literature reviews. The literature reviews present the existing studies on irrational behaviors of investors and the efficiency of future market, and also summarizes the shortages of existing studies. In this part, I firstly give the definition of"irrationality", and discusses that index future efficiency is influenced by irrational behaviors of investors. Chapter 2 is"The theoretical foundation". The theoretical foundation of irrationality is presented in this part with perspective of behavioral finance. I think that the cognitive bias is the main cause which leads to noise trading and the irrational behaviors of investors. On this basis, I present the research idears and innovations of this paper. Chapter 3 is"The empirical study on the efficiency of A share index futures". This part is the basis of the whole paper, I use some methods to test price discovery ability of HS300 and A50 futures, and analyze reasons with the points of trading systems and behaviors of investors. Chapter 4 is"The study on the irrational behaviors of stock index futures". This part analyzes the efficiency of stock index futures in the perspective of irrational behaviors. Chapter 5 is"Conclusions and Suggestions". After the empirical studies, this part concludes the whole paper and gives some suggestions.