Research On Pricing Right Of China’s A-Share Market From Interactive Relationship Between Stock Index Futures And Spot

In the context of economic globalization, pricing right of bulk stock becomes a prominent problem. China is faced with serious lack of pricing right in the international trade system, in that China has not yet formed a mature commodity futures trading market. In addition to bulk stock, the financial market is also faced with the puzzle.To grasp the pricing right, the government of China(GOC) has took a series of attempts. In2006, China financial futures exchange(CFFE) was established with the listing of CSI300index futures as its first varieties, which is committed to grasp the pricing right of financial market by establishing and improving financial futures market. However, before this, Singapore exchange(SGX) beat the gun and launched the FTSE Xinhua China A50index futures, which directly take China’s A-share index as spot. As a typical case of China’s stock index futures overseas listing, it makes China’s A-share index futures faced with the problem of pricing right, in the competitive coexistence of domestic and overseas market.In view of the influence on the pricing right of A-share market by the competitive domestic and overseas markets of China’s stock index futures, the thesis puts CSI300index market, CSI300index futures market and FTSE Xinhua China A50index futures market into a whole research frame. Based on theoretical analysis, through direct comparison of various aspects about market microstructure(including contract designing, trading mechanism, structure of investors, regulatory environment), it analyzes the comparative advantage of two markets in pricing fight. Then it focuses on the interactive relationship between stock index futures and spot based on CSI300and FTSE Xinhua China A50. In the part of volatility influence, GARCH model is applied to test the impact on the volatility of spot market and further the A-share market by the entry of CSI300and FTSE Xinhua China A50index futures, so is the asymmetric TARCH and EGARCH models with the purpose of improving the results. In the part of price discovery relationship, it makes qualitative analysis of the price discovery relationship among three markets, by Johansen co-integration test based on the vector auto-regression model(VAR), Granger causality test based on the vector error correction model(VECM), and impulse response function, while it does in turn with the vector error correction model and variance decomposition in quantitative analysis, with the purpose of evaluating the discourse power of each futures market in the spot market. Given that low frequency data may weaken the function of price discovery, the thesis uses sample data of different frequency, namely day data and5minutes data, to make comparative analysis in order to refine the results.It is found that, in the competitive coexistence of CSI300and FTSE Xinhua China A50, domestic market has the initiative both in the volatility influence and price discovery, and of course grasps the pricing right of A-share market, while the external market, as a complementary role, can hardly shake the pricing right of A-share. It is attributed to the huge gap of volume, liquidity and market share between the domestic and overseas markets, and further to deep causes, such as capital market control in China, expected appreciation of RMB assets and legal risks of FTSE Xinhua China A50.Finally, given the fact that although domestic market of stock index futures grasps the pricing right, there still exists potential threats from stock index futures listing overseas, the thesis proposes policy suggestions to improve the stock index futures market in China and then stabilize the pricing right in A-share market in four aspects, that is, enriching trading varieties, improving trading mechanism, optimizing structure of investors and promoting cross-market supervision.