| Finance is the core of modern economy, in the1990s, the international flow of capital globalization, countries compete to open stock index futures trading, formed the worldwide stock index futures listed trading tide. In recent years, with the rapid development of China’s economy, the capital market constantly improve, capital market scale unceasingly expands, attractting the attention of the various countries’capital. Through various channels in addition to enter China securities market, some countries and regions also launched A to China for the constituent stock index futures, trying to race to determine the price of A share. In October2004, the Chicago board options exchange (CBOE) took the lead in put out China index futures; September5,2006, Singapore exchange was willing to risk of Chinese legal action, forced out FTSE/Xinhua China A50index futures contract. In order to fight for the pricing, April16,2010, despite facing with great resistance, China strived to promote CSI300stock index futures.From now on,China stock market for the first time to have the local stock index futures and it will have a special profound influence on Chinese capital market.By today, nearly a year and a half time has passed since lauched the CSI300index futures. We can see the participating institutions continue to increase, the market trading volume sharp amplifying even more than the Spot market. We can’t help but to think about the Chinese stock market index futures and influence of stock index futures price discovery. We define when the FTSE/Xinhua China A50and CSI300stock index futures launch time as dividing points, and then test launch of stock index futures whether CSI300stock index to the volatility of the stock effect; CSI300stock index and the period of CSI300to A50period of time and to the sequence data do research, and then judge the stock index futures price discovery and local and foreign stock index futures listed to determine the price of a effect. Stock index futures different ground listed refers to a country or region’s stock index futures contract for mark in another country or region listed trading. We put the stock index namely spot country or area called native, another is for different ground. This paper first chapter of the introduction, this paper mainly introduces the background and significance, the related literature at home and abroad, this paper reviewed the structure arrangement and innovation points, the second chapter first introduces the history of stock index futures, and the new when huafu A50stock index futures and csi CSI300stock index futures, stock and a brief introduction of their similarities and differences do related comparison analysis.The third chapter,We define when the FTSE/Xinhua China A50and CSI300stock index futures launch time as dividing points, then we use GARCH,TGARCH empirical research model respectively for the CSI300index spot daily return sequence, and the results show that Singapore A50stock index futures, increase the Chinese stock market volatility, produce adverse effect to the stock market, and in shenzhen stock-index futures, weakened the volatility of the stock index; A50and CSI300of stock index futures has introduced, in a certain extent, to speed up the information transfer efficiency, but also changed the market of the asymmetry of the structure, by the good news before launch A50to market impact to the introduction of bad news A50impact on the market, when CSI300period after its means, eliminate the market is analyzed. In the fourth chapter with the Granger causality test analysis, vector error correction model, variance decomposition technology and information proportion model methods, such as stock index futures and spot market price mutual leading relationship empirical research, demonstrates the relationship between the three market, get CSI300spot is CSI300period for refers to, in10%of the significant level, A50period refers to spot the CSI300is for; Relative to the CSI300futures market, to spot the adjustment of speed faster instead, relative to the domestic stock index futures, stock index futures A50abroad to adjust the balance of speed more rapidly, which reflects the higher efficiency of information; Quantitative research results also show that three market in price discovery function in the process of the size is as follows:CSI300spot, A50period refers to CSI300period and points. Conclusion and mature market futures lead spot and futures reflect a little more efficient information consistent.In chapter5the conclusion and thinking parts, through summing up for the conclusion, and the research conclusion with less consistent place, I has made the thinking and explanation, As in TGARCH inspection,γ value is less than0, probable due to sample interval is unilateral about rising; the reason for FTSE/Xinhua China A50stock index futures slants big influence among the indexes is probable due to A50contract design and sample selection relevant, because we select A50closing time of day than CSI300period closing time15minutes later; Csi300stock spot index leading CSI300futures may be stock index futures market development is not too long, so the institutional investors have not enough influence and transaction cost is too high.For the phenomena that the futures cannot lead spot and the adjust speed of the futures market is slower than the spot market, this paper puts forward some countermeasures and Suggestions, such as improving capital market construction, improve market efficiency; Improve investors structure, encourage more institutional investors joins into the stock index futures market, improve the futures market trading scale and liquidity; Stock index futures trading costs and commission should be appropriately reduced... |
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