Research On The Effectiveness Of China’s Stock Index Futures Market

On April16,2010, Shanghai and Shenzhen300stock index futures makes transactionsformally which launched by China financial futures exchange, marking the future exchange entersthe stage of China’s securities market. With more than two years’ development, the Shanghai andShenzhen300index futures trading volume and turnover is expanding constantly, the influence ofthe securities market grows day by day. Stock index futures in price discovery and hedging play animportant role, and scholars’reach also focus on strategies. But with the development of stock indexfutures, more and more signs prove that the validity of stock index futures is relatively low, improvethe effectiveness of the stock index futures has also become a central issue of the theoretical and thepractical realm focus of concern.This paper reorganizes the theory of effective market systemically, and introduces theempirical method to test the effectiveness of the market, taking the empirical method which issuitable for this article, based on the real transaction data of stock index futures market in China,using the serial correlation model, co integration test model and GARCH model to empiricalanalysis, get the conclusion that the price of Chinese stock price index and the price of futurescontracts obey random walk, and there is a co-integration relationship between them, finallyindicates that China’s stock index futures market is weak form efficient.The paper analyzes the causes of China’s stock index futures weak type of effective, from themarket trading mechanism, the behavior of the investors and market regulation perspective, this paper finds there are defects existing China’s stock index futures market trading mechanism, lackof rational behavior of investors, the market regulation is unreasonable, and the legal system lagsbehind, resulting in weak type of effective operation of stock index futures market in China. At theend of this article, in view of the status quo of China’s stock index futures weak type of effective, incombination with the cause of the weak type of effective stock index futures market in China, putforward suggestions, in order to achieve rapid and sound development of stock index futures marketin China.