International Study On Stock-Index Futures On The Effectiveness Of Stock Market Information

Hu-shen 300 index futures contracts was introduced on April 16,2010 in China financial futures exchange which shows that china's securities market make a further progress. What is the effect of the launch of stock-index futures and how does the stock-index future influence the stock market are worth to explore. Domestic and overseas scholars researched the role of stock-index future in the security market from effectiveness, liquidity, volatility and so on. And they concluded with different conclusions. In fact, the difference of market microstructure has different effect on the influence of the index futures. Therefore, this paper first study the difference of United States, Hong Kong, India and China's securities market microstructure, making the investors'structure, internationalization degree, information and disclosure as the most important index of the market microstructure. By comparing and analyzing of the mechanism of index futures affecting the stock market in these four market through microstructure level, explore how does the stock-index futures influence the information relative effectiveness. It is concluded that influence about information relative effectiveness of the stock index futures on the stock market is bigger, at the perfect market microstructure. Namely, this market in the information processing, show strong information unscramble ability and rational value regression ability; However, it will be a weak performance of information relative effectiveness, and show a larger proportion of noise trading and stronger market volatility when the market microstructure is imperfect. After the detrusion of the stock index futures in China, information relative effectiveness has been enhanced:facing with a major events or information, market volatility is weakened. But it also reflects poor price return ability, which means still a not very strong information relative effectiveness. According to the reasons investigation, the most important constraints are imperfect of microstructure of China's securities market, larger proportion of individual investors, low degree of internationalization and faultiness of information disclosure mechanism. Therefore, efforts on improving microscopic structure will be the prerequisite to effectively play stock index futures function.