| Since the birth of the world's first stock index futures varieties in the early 1980s, then through nearly 20 years development, the stock index future which as a new kind of financial derivatives has been experienced rapid growth and development, it can be said that almost all the developed countries and the most of developing countries already had their own stock index futures, in particularly enter into the twenty-first century, financial futures in Asia especially the stock index futures gained more rapid development. After nearly four years simulation trading of the Hu-Shen300(HS300) stock index future in China, no matter in terms of the institutional mechanism design and the scale of market, or legal conditions and so on, as everything has been ready, and finally the first of our country's stock index future—HS300 stock index future has been launched officially in the April 16,2010.As our China's stock market always has been confronted serious low efficiency problem in compare with the mature markets of western country, such as researching in this paper about the spot market pricing efficiency, operating efficiency, etc., which will severely restrict the sustained and healthy development of our China's capital market or even the whole national economy. In this article, we choose nearly one year and a half data for the underlying index futures of our China's A-shares stock market—HS300 stock index future and HS300 stock index which on behalf of our country's A-shares stock market for this research, through this study on the introduction of HS300 stock index futures impact on the pricing efficiency and operating efficiency of the A-share spot market, not only can let the majority of investors get profound sense of inspiration and education, but also can give relevant decision maker some reference for regulating the market, therefore, this thesis research has some certain theoretical and practical significance.In this paper, a combination of theory and empirical methods has been adopted. From theory study, the introductory part of the first chapter summarized the research status that concern the theory of market efficiency and the stock index future impact on the spot market pricing efficiency and operating efficiency from home and abroad, which laid a conceptual framework for the model design of this article; In the second chapter, starting from the concept of stock index future, and then reviewed the development history of global stock index future, in addition elaborated the basic theory of stock index future; In chapter three mainly analyzed the introduction of stock index futures impact on the efficiency of the spot markets, Firstly describe the efficiency interaction relationship between the stock index future market and the spot market, then set forth the pricing efficiency and operating efficiency relationship between the stock index future market and the spot market. which provide the necessary theoretical basis and model building framework for the next empirical research. From empirical research, this article select the latest sample data as much as possible, and keep track of market movement, in strict accordance with standard empirical procedures, start this paper's statistical analysis and empirical testing from three aspects which applied some statistical software such as Eviews, Excel and so on: The first is about empirical research on the pass-through effect from the introduction of the HS300 stock index futures to the A-share stock market, take correlation analysis between HS300 stock index futures and HS300 stock index firstly, then successively followed by the stationary test and cointegration test, finally through the Granger causality test method to know whether the initial launched HS300 stock index futures begin to play price discovery function ; The second is about empirical research on the A-share stock market volatility which caused by the introduction of HS300 stock index futures, mainly through build ARMA-GARCH model, and then respectively introduce margin financing and securities, stock index futures as two dummy variables, to diagnose the volatility effect; the third is about empirical research on the change of the A-share market liquidity which lead by the introduction of HS300 stock index futures, in the beginning in this part compared the liquidity changes in a long period of before and after introduction of A-share stock market from the perspective of the trading volume, then select the HS300 index trading volume growth rate in 100 and 300 trading day respectively also in a period of before and after the introduction of the HS300 stock index futures for T-test to demonstrate the liquidity impact; After that, here also take use of relative spread index for descriptive statistics from the price aspect to continue explore the liquidity change; Finally, in this part comprehensively take considering the volume and price, through the introduction of a illiquidity ratio which reflect both the trading volume and price for further demonstration.Through the above theoretical analysis and empirical analysis, the author got the following conclusion: Firstly, China's HS300 stock index futures started to take price discovery function, it means that the introduction of HS300 stock index futures promoted the pricing efficiency of A-share stock market; Secondly, the introduction of HS300 stock index futures reduced the volatility of the A-share stock market, which could stabilize the spot market; Thirdly, the introduction of HS300 stock index futures increased the liquidity of the A-share market in some degree, it means that launched HS300 stock index future enhanced the operating efficiency of our country's A-share spot market from the last two part empirical result. On the whole, the introduction of HS300 stock index futures improved the A-share stock market pricing efficiency and operating efficiency, in addition, the last chapter also pointed out the insufficient and prospect of this whole research, furthermore some policy proposal also have been put forward in the end. |
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