| In the April 16,2010, China formally launched HS 300 stock index futures. Compared with the HS300 stock, the HS 300 stock index futures has a significant difference in trading time.The stock index futures are helpful on avoiding systemic risk, and stabilizing the capital market because of the function of arbitrage and hedging, price discovery, dispersing investment risk and so on. The price discovery of trading after hours on stock market has been researched at home and abroad. However, there is no detailed study that the price discovery of trading after hours on stock index futures has been researched.The first chapter for introduction, this paper introduce the significance and background of the research. The related issues’s research statue at home and abroad are reviewed and evaluated.The second chapter is an overview of the stock index futures. It introduces the emergence and development of stock index futures, stock index futures market operating characteristics.The third chapter is the theoretical analysis of HS 300 stock index futures trading characteristics and price discovery in after-hours period. It is based on King Wadhwani infection model and market microstructure theory. It theoretically explores investors and information compositon in non-trading hours. It is the theoretical foundations of this paper.The fourth chapter will empirically analyze trading after hours and price discovery in HS300 stock index futures. The research shows that pre-and after-hours period has a relatively high probability of informed trading compared with the normal trading hours. The price contribution in pre-hours period is less than the next day price contribution in after-hours period. Pricing efficiency declines from 9:15 to 9:27 in pre-period pricing efficiency. However, because of the learning process, the HS 300 stock index futures pricing efficiency has significantly improved near the opening.The fifth chapter is the main conclusion, besides it points out the shortage of this paper. |
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