An Empirical Study On Opening Price Of Stock Market Affected By Stock Index Futures Market

Since HS300index futures launched officially in china in April16th,2010，theformal trading time with notable differences between the stock index futures and spotmarket. Usually the opening time of the index futures market is earlier than the spotmarket by15minutes, also is the closing time of the index futures market later thanthe spot market.The paper from the perspective of transaction inconsistency to study theintroduce of HS300index futures how to affect the spot market opening price. Thepaper’s structure is as follows:The first chapter for introduction, this paper introduces the background andsignificance of the research. Meanwhile the related issues’ research status at home andabroad are reviewed and evaluated.The second chapter is a concrete analysis about the mechanism of the stockindex futures impact on the spot market under the trading time inconsistency. Thischapter firstly introduces the opening trading mechanism of the spot market,based onwhich,from the perspective of trading time difference to analysis the impact of thespot market opening price from the stock index futures market through the tradingmechanism and the information transmission mechanism.The third chapter is the empirical study on the index futures market informationcontents during the two "15minutes".Select the HS300stock index spot minutes ofdata,using EARCH and WPC method to analyse two aspects respectively.On the onehand,we make analysis on the effect to the spot market during the trading timeinconsistency,the results show that the early and late trading hours on the spot marketincludes useful information, help to boost the price discovery function of the spotmarket.Another part is the research on the open quotation price contribute of the earlyand late trading hours,the conclusion shows that the spot before with better pricediscovery function compare to the spot after, and the inconsistency of trading hours isbeneficial to the price discovery.The fourth chapter put forward the noise assumptions and learninghypothesis,based on the stock index futures market affect the spot market openingprice through the trading mechanism and the information transmission mechanism.According to the research hypotheses, we select the HS300stock index spot data,using OLS method to make an empirical analysis on the stock market opening pricingefficiency. Conclusion shows that after the introduce of the HS300index futures, the spot price efficiency has slightly lower, but from the opening of the efficiency scorevalue pricing to see, the stock of cash market price is still can be accurately estimatethe stock value, and that is to say the stock price of cash market is still effectiveopening price.The fifth chapter in this paper is the main conclusion,besides points out theshortage of this paper finally.