Effects Of Index Futures Pricing Empirical Analysis

Financial system is becoming more and more important to the whole economical system; even you can say it's the core of the economical system. As the important part of the financial system, the stock market is getting more attentions. The rational and healthy development of the stock market is crucial to national economy. In comparison with the developed country, China only has stock market but doesn't have stock index future market. Index future is a financial derivative instrument based on the stock index, and it plays an important role in the function of financial system.First of all, this paper analyses the concept, the origin, the development process, and the statue of stock index future, and particularly analyses the correlation between stock index future market and the underlying market, then points out index future has some advantageous and disadvantageous influences to underlying market. Second, this paper empirically researches the correlation of Hang Seng Index and Hang Seng Index Future with Co-Integration theory, testifies Hang Seng Index Future Granger causes Hang Seng Index, and proves the existence of the Pricing Right Effect of index future. Besides, it's the first time for any papers to research the correlation of Singapore A50 Index Future and the Shanghai Stock Exchange Composite Index, and points out how overseas listing of stock index future affect the underlying country. Finally, gives some advices about timetable of the index future in China and intensifying the inter-market supervision.