| Stock market index future is a cash-settled futures contract,traders of which agree to buy or sell a standardized value of a stock index, on a future date at a specified price.As an investment instrument it combines features of securities trading based on stock indices with the features of commodity futures trading. It allows investors to speculate on the entire stockmarket’s performance, short sell an index with a futures contract, or to hedge a long position against a decline in value.Actually,stock market index is not a new invention. The stock index futures trading has been attached importance to increasingly by varied investors in developed countries and emerging market countries since Kansas Futures Exchange released the first index futures——Value-line Composite Index Futures on February.,1982. Trading scale has enlarged quickly and varieties increased swiftly.However, it was untill April16,2010, the first stock index futures contract——namely CSI300stock index future was lauched at the China Financial Futures Exchange (CFFEX). The introducation of stock index futures is indeed a milestone in the Chinese equity market’s long march towards greater liquidity, versatility and sophistication. Then two problems are the extent that what kind of effect the stock index produce on the the underlying stock market and the relationship between the stock index futures and the underlying stock market. That is just what the thesis tries to figure out.This article analyses the impacts that the Stock Index Futures has on the spot market in three aspects.In the fist part,the trend of the price of stock spot market before and after the introducation of CSI300index futures was reviewed and the main macroeconomics fundamental factors on the stock market were analyzed in words.Next, quantitative analysis on the volality change of the stock spot market before and after the introducation of CSI300index futures was made by Eviews6.0software. The first step, gathering the daily closed price of CSI300from June10,2008to February29,2012. Then the ARMA and GARCH models are constructed, by introducing a dummy variable D which stand for the listing of the stock index futures. D was set as zero and one respectively before and after the introduce of the stock index futures. By judge the coefficient and the significance of the varible D, we can draw a conclusion whether the launch of the CSI300futures increase or reduce the volatility of the spot market.For futher study that how the CSI300price interact with the CSI300future price and whether the future market has the price discovery function, the paper choose data from both the spot market and the future market for empirieal analysis.To guarantee the objectivity and completeness of the result, the thesis use daily closing data and5-minutes high frequency data respectively for the subsequent modelling and examination.Thus it would show how the two markets interact in long-term and short-term. The span of daily data is Aprl,16,2010to February,29,2012, that of5-minutes high frequency data is February,15,2012to March14,2012, excluding the future market data which are not matching with the spot market. Afterwards, the two time series are undetgoing stability test by ADF and PP test; on the basis of it, cointegration test and error correction model are made to show how the varibles adjust in short-time to the long-time equilibrim. In additon, VAR(vector auto-regression) model and VECM(vector error correction model) are employed for more accuracy.Then Granger causality test are made to exam the lead-lag relationship of the two market. Finally, impulse response function and variance decomposition method are used to show how the two market prices react to the external information.By means of the aboval econometrics methods,the paper come to the following conclusion. The launch of CSI300index futures doesn’t change the volatility of the stock spot market significantly,but actually promotes efficiency of information transmission in the stock spot market. There is a equilibrim relationship between CSI300index futures market and spot market both in long-term and short-term. On the5%significance level,CSI300index are the unidirectional Granger causality to CSI300index futures in long-term, quite the contrary, CSI300index futures are the unidirectional Granger causality to CSI300index in short-term. The power of influence of CSI300index is much stronger than that of CSI300index futures in the long run, which means CSI300index price still pay a dominent role in the long-term. But CSI300index futures price are leading CSI300index price for about15minutes,which implies that CSI300Index futures has possess the price discovery function in the short-term.The reason that the CSI300Index futures prices lead the underlying index prices in short-term is that the stock index futures react to the external information more swiftly, which contribute to its high liquidity, low transanction costs, high leverage, bi-directional trade,its highly execuiton efficiency and so on. The CSI300Index is the subject of the CSI300Index futures, that is why it pays a decisive role in the long-term pricing.To summarize, the CSI300Index futures has possesses the price discovery function in the short-term,wheras the underlying spot market still take the dominent position in the long run. The introducation of the CSI300index futures did not deteriorates the volatility of the stock market. All the above indicates that introducation of the CSI300index futures is quite successful so far. The experience of successes would pave the way for the prospective introducation of other financial derivative instruments,thus investors can enjoy more alternatives. In this way, it must be beneficial to the maturity and perfection of the captical market in my country. |
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