Empirical Study Of Chinese Stock Indexfutures Market Efficiency

In 2010, our country started the CSI 300 index futures contracts, and its launch represented the stock index futures formally mounted the platform of the futures market. Due to the gradual development and perfection of China’s securities market, stock index futures market also arrived at the high speed development stage. Market efficiency is the key indicators to measure whether the stock index futures operation was successful. Based on this, considering the CSI 300 stock index futures market development situation and operation characteristics, according to the market hypothesis economic theory and using four qualitative research methods and ten tests, this article analyzed China’s stock index futures market effectiveness.First of all, this article embarked from the angle of the efficient market hypothesis and divided the closing price into five sample interval, then used the random walk model of the efficient market hypothesis and adopted the runs test, autocorrelation test and six variance ratio tests to study the effectiveness of stock index futures market on the daily data and five minutes data and analyzed the change of the stock index futures market effectiveness in process of its development. The empirical results indicated that stock index futures market efficiency of the high frequency and low frequency data did not change along with the development of the market, and there was a difference.Then, this article embarked from the perspective of the fractal market hypothesis using R S method and V S method to calculate Hurst exponent for exploring long-term correlation of the yield and volatility about the CSI 300 stock index futures on the daily and five minutes data during the whole sample interval. The study found that there was no obvious long memory property about the yield and volatility sequences on daily data of CSI 300 stock index futures. This again showed that the CSI 300 stock index futures market was a weak effective market. But the five minutes volatility sequences existed obvious long memory, this suggested that the current price fluctuation was influenced by historical information, so we still need to improve the effect iveness of the stock index futures market.