Stock Index Futures To The Chinese Stock Market

Whether the issuance of stock index future will have an impact on China's stock market, and if so, what the specific impact is, is a topic of high research value and great practical importance.Firstly, this thesis does the qualitative analysis of stock index future's impact in general, investigating in detail all kinds of new transaction demands brought by index future's functions and specific influences on all kinds of market participants. Then, under the frame of dynamic asset pricing theory: Lucas' discrete-time model and Merton's continuous-time model respectively, this thesis establishes general asset pricing models for this issue by incorporating stock index future into representative agent's investment choice, investigating quantitatively changes in underlying assets' equilibrium pricing mechanisms; Lastly, empirical analysis were established and conducted based on theoretical models, for both developed market and China, of which the empirical analysis partially reflects A50 index future's impact, and partially reflects market's rational expectation of HS300 index future's issuance.The main conclusion of this thesis could be summarized as follows: in an incomplete market such as China, the issuance of stock index future will change underlying stocks' equilibrium pricing mechanism, with pricing efficiency enhanced and social allocation results brought closer to Pareto's Optimality.