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Stock Index Futures And Stock Market Efficiency Study

Posted on:2004-11-09Degree:MasterType:Thesis
Country:ChinaCandidate:H Y ZhuFull Text:PDF
GTID:2206360122467030Subject:Finance
Abstract/Summary:PDF Full Text Request
Stock market efficiency can be categorized as external allocation efficiency of fund, pricing efficiency and internal operation efficiency. Pricing efficiency is the indicator which leads internal operation efficiency to external allocation efficiency of fund. The ultimate object of the stock market is to properly allocate fund. Whether the fund can be distributed efficiently or not relies that pricing efficiency and operation efficiency are high or low. Pricing efficiency means that the stock price can immediately and correctly reflect market information. Operation efficiency mirroring the state of organization and service of the market implicates the cost is lower and the time is shorter when making transaction, the capacities of avoidance of risk and capital formation are stronger, and the operation of stock market is steadier.Stock index futures emerged when stock market was less efficient and it profoundly impacted on the efficiency of stock market. This article systematically analyzes the issue using theoretical research means. Stock index futures can find out the trend of changes in future price of stock market. The price of stock index future contains large amount of information which can be transmitted to stock market by the arbitrage mechanism between future market and stock market. This increases the contents of stock price and then improves the pricing efficiency of stock market. Since stock index futures strengthen the ability of avoidance of price risk, improve the liquidity, enhance the steadiness of stock market, they increase the operation efficiency of stock market.On Chinese stock market, stock price critically separates from real value of stock and systematic risk is higher. Because of low efficiency of stock market, introduction of stock index futures is necessary. The process in which stock index futures improve the efficiency of spot market depends on the level of development of stock market. The imperfect system of information disclosure, the exchange mechanism halts and serious banker phenomena in stock market will restrict the improvement of stock market efficiency due to the introduction of stock index futures. This article will analyze these problems in turn and propose reasonably improvable and preventative strategies.
Keywords/Search Tags:Stock Index Futures, Stock market efficiency, Arbitrage, Pricing discovery, Hedging
PDF Full Text Request
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