Empirical Research Of Efficiency Test Of HS Stock Index Futures Market

Stock index futures market has been established for two years in China. The market is very active because of high participation of investors and great trading volume. Academic research for stock index futures market is also impressive. However empirical research of efficiency Hypotheses of stock index futures market is very little and foreign scholars have studied this object very deeply and well. These mean this problem in China have foundation to explore. The effectiveness of stock index futures market is one of the important manifestations of the stock index futures to run successfully. Empirical significance is self-evident. For the above reasons, the paper explores the effectiveness of stock index futures market in China based on hs300index futures contracts.Firstly this paper defines what is the effectiveness of stock index future markets. Then through relevant literature review, many methods to study this problem are summarized. And after selecting the suitable methodology of empirical research, empirical results are found and analysis the reasons for results. At last, the paper provides some recommendations to enhance the effectiveness of stock index futures market.The effectiveness of stock index futures market should have two parts:the effectiveness of market information, the effectiveness of function of stock index futures. The effectiveness of stock index futures market information defined with Roberts (1959) that the market price which is sensitive for information determines the validity of the market; function of the effectiveness of stock index futures, stock index future price should have the functions:price discovery, risk avoidance, speculative arbitrage. Reviews of the literature, with the definition of the effectiveness of stock index futures market, are divided into two parts, including the effectiveness of stock index futures, the effectiveness of the function of stock index futures. Through these, the paper find that there exist a large number of research methods. The paper also divides the empirical research into two parts. One part is to explore the empirical test of information efficiency hypotheses of stock index futures market with variance ratio test and multiple variance ratio test. The results reveal that stock index future market follows RW3, which means the market accepts information efficiency hypotheses. The other part is to explore the empirical test of functional efficiency hypotheses of stock index. The results also tell us the stock index future market almost plays its function. Empirical study on function efficiency test uses cointegration test, Granger causality test, the binary Garch model(BEKK). With Granger causality test, the paper finds the changes of hs300future index price lead the changes of hs300index price and plays a main guiding roles in price discovery in5minutes,10minutes,60minutes. With the cointegration test, the paper finds stock future index markets and stock spot index market have the relationship of long-run equilibrium and short-term deviation. With the BEKK model, the paper finds there exist information flows from stock future index markets to stock spot index market in5minutes,10minutes60minutes. All of these mentioned above tell that the stock future index market is almost efficient.The main contribution of this paper is a systematic study of the efficiency of stock index futures market, studies show that China’s stock index futures market is a basic efficient market. The downside is that the stock index futures market is weak form market on information, did not discuss whether the semi-strong efficient market.