The Study Of CSI300Index Futures Pricing Efficiency And Information Efficiency

Stock index futures as a kind of financial derivative product its efficiency directly determines the capital allocation efficiency. The pricing process of stock market is process which buyers and sellers through constant inquiry finally reached equilibrium price, the level of pricing efficiency means that whether the market maintain a balanced state for a long time. But price is only one level of securities markets, only study the price is not a comprehensive study because it does not reflect the nature of the market. Information is a prerequisite for pricing, it is crucial to promote market equilibrium price and Information directly affect the efficiency of the market pricing function. Therefore, the information efficiency and pricing efficiency equally important, they constitute two inseparable parts of the securities market efficiency.From the domestic point of view for the efficiency of the market research, the differences of market maturity lead to different efficiency. Research on pricing efficiency can be divided into two ideas:firstly, market price as the main direct examination the level of efficiency of market pricing; secondly, research on the role of the pricing efficiency of external. Another part of the study is the efficiency of information. Information efficiency is a reflection of information of the price at speed and volume, information is a source of price fluctuations, the microscopic basis of market, efficiency of information has long dominated the study and studies have shown that mature market’s information is more efficient than the emerging markets. However, research on domestic pricing efficiency and information efficiency of the vast majority are on the spot market and few studies stock index futures market moreover most studies were analyzed from a theoretical point of view.This paper study from three different aspects:the first is the stock index futures pricing efficiency research. By analyzing the different markets, we think that stock index futures and spot prices should be in a long-run equilibrium state. Market pricing process is the process of the formation of market equilibrium price, when the market is in a long-term arbitrage state, the market price is a non-equilibrium price, this shows that the low efficiency of market pricing. Similarly, when the market is no arbitrage equilibrium, shows that the pricing efficiency of the market is highly. Therefore, we examined the real stock index futures prices and spot prices, verify that whether a long period of equilibrium between them to test the pricing efficiency of the stock index futures. Secondly, the study index futures price discovery function. We believe that it is necessary study the price discovery when we research the stock index futures market pricing efficiency. Finally, we study of information efficiency of stock index futures. Stock index futures and spot markets are different, so they may be different for the absorption of new information. High efficient market information the market price would lead to reflect new information, market information efficiency will directly affect the pricing efficiency of the market and price discovery function.We examined the real stock index futures prices and spot prices, verify that whether a long period of equilibrium between them to test the pricing efficiency of the stock index futures. We used Johansen cointegration and vector error correction model (VECM) to complete it. In the study of price discovery, we first introduced the trend of the stock index futures in the study, research from the price discovery function of two trends rise and fall. On research methods, we used linear and nonlinear Granger test to test the guiding relationship between the prices. We study the efficiency of information, from the both reaction speed and reflection degree of information, by the generalized information impulse response model, linear regression models and Information share model.Through theoretical analysis and empirical test, we finally reached the following conclusions:First, there is a long-term equilibrium relationship between the stock index futures market and spot market, the stock index futures market has a high pricing efficiency. Second, the stock index futures can guide the spot market, that is to say stock index futures have a price discovery function. Third, Stock index futures market reflected in the information faster than the speed of the spot market, but lower than the spot market as reflected in the amount of information.This article has contributions and innovations in the following areas. First, we innovated in research methods. We introduced the concept of non-linear relationship when we study the stock index futures market.Second, we innovated in research perspective. In the study of the function of the stock index futures market price discovery, the paper first introduces the concept of space in the empirical analysis. Third,we innovated in the use of the model. During the study, we re-processed on the basis of the previous model, and applied new models to this article.