| Stock index futures is an important financial derivative instrument to manage the systematic risk of the stock market. It has more than 30 years of operation history in the international market and is one of the most active financial derivatives. After nearly 10 years of research and preparation, China in April 2010 formally launched the first domestic A-share stock index futures CSI 300 stock index futures. With the continuous improvement of regulatory system and trading rules, more and more investors take part in the market, China's stock index futures market develops smoothly and stdeady, the market efficiency improves significantly. China Financial Futures Exchange in November 2013 issued an article showing that stock index futures have fully realized its original intention. It is pointed out that stock index futures market services and subject to the spot market, keeps good fitness with the spot market; playing the role of decreasing the market volatility obviously, and enhancing the stability of the stock market; becoming the insurance of wealth management and making investment more secure; arousing the interest of institutions to take part in the market actively and accelerating the innovation of financial products; finally improving the core competitiveness of the stock market. In order to further meet the needs of investors, China Financial Futures Exchange in April 2015 simultaneously launched the SSE 50 and CSI 500 stock index futures, according to statistics of the World Federation of Exchanges, in the same month, China's stock index futures market surpassed the CME Group both in terms of volume and turnover, becoming the most active stock index futures market in the world. But in 2015, the fluctuation of China's stock market increased significantly, especially in June to September, the abnormal fluctuations brought a negative impact to the financial derivative markets of China. In order to control the abnormal volatility of stock market, curb excessive speculation in stock index futures market, China Financial Futures Exchange in September 2015 put strict restrictions on the trading of stock index futures.Why does China Financial Futures Exchange limit the trading of stock index futures? By comparing the original intention of listing stock index futures and the performance of China's stock index futures market in 2015, it can be found that the positive functions of stock index futures market have been questioned. From June to September in 2015, the futures'price frequently reached the daily limit. For example, CSI 500 Index Futures had reached the lower limit for 9 times, especially in July 8, 2015, the deviation of the return of stock index and futures was up to 7.62%, which showed that the fitness of stock index futures and spot index price decreased significantly. At the same time, the exceptional negative basis exacerbated the market panic.Therefore, to find the truth behind the exceptional phenomenon of stock index futures market, this paper focuses on the stock index futures markets including CSI 300, SSE 50 and CSI 500 stock index futures. Firstly, through the method of structural change test, this paper makes an empirical analysis on the structural change of the stock index futures market in China and analyzes the operating characteristics of each stock index futures at each stage. Secondly, due to the structural change caused by the abnormal fluctuation of China's stock market in 2015, the mispricing of China's stock index futures market has changed significantly. How to explain this phenomenon is the key to deepen the understanding of China's stock index futures market pricing mechanism. By taking into account the factors of suspension and price limits of the underlying stock index's components, the paper extends the general equilibrium pricing model to explain the big mispricing in the stock index futures market in 2015. In the end, this paper studies the policy adjustment which caused the sudden change of the structure of China's stock index futures market. Through empirical and comparative analysis, the paper explores the policy adjustment' influences on the futures and cash markets.The dissertation includes seven chapters; the main contents are as follows:The first chapter is introduction. This chapter first elaborated the background and significance of the topic, and then introduced the research framework and the main content of this paper, as well as the research methods used in the research, and finally explained the innovations and shortcomings of this paper.The second chapter is literature review. In this chapter, we mainly study the price relationship between futures and spot index, study the pricing theory and mispricing of stock index futures, and so on. The pricing mechanism of stock index futures, and the research on the relationship between futures and spot provide an important reference for the following research process.The third chapter is the theoretical basis of the research. This chapter includes the function theory of stock index futures, the traditional pricing theory of stock index futures and the general equilibrium pricing theory of stock index futures. The function theory of stock index futures is the theoretical basis for studying the relationship of stock index futures and cash markets. The pricing theory of stock index futures is the theoretical basis of the research about the influencing factors of mispricing in China's stock index futures market.The fourth chapter is the empirical research on the structural change phenomenon of China's stock index futures market. First of all, this chapter elaborates the linking mechanism of stock index futures and spot market, and then carries on the basic statistical analysis of the stock index futures market. To find the structural change points in the data, the research applies the method proposed by Bai and Perron (2003) to identify the breaking points. Finally, based on the results of the strucutual change test and the development of the stock index futures market in China in the past six years, the paper analyzes and summarizes the characteristics of the three major stock index futures in China.The fifth chapter is the study of the factors affecting the mispricing of China's stock index futures. This chapter is a continuation of the study on the relationship between China's stock index futures and spot markets. According to the result of structural change test, the basis is widened in the period of abnormal fluctuation in 2015. The paper computes the mispricing of every stock index futures, and by taking into account the factors of suspension and price limits, the paper constructs a model based on general equilibrium pricing model to analyze the cause of mispricing in stock index futures market.The sixth chapter is about the influence of the policy adjustment to the stock index futures and spot markets. From the results of the structural change test, it is found that the stock index futures suppression policy implemented by the China Financial Futures Exchange in September 2015 directly led to the sudden change of the structure of the stock index futures market. This chapter compares the liquidity status in stock index futures market before and after the policy adjustment, and then analyzes the impacts on the spot market's volatility and liquidity.The seventh chapter is the conclusions and policy proposals. This chapter summarzies the findings in the research from three aspects:the relationships of futures and spot markets, the influencing factors on mispricing of stock index futures and the influence of policy adjustment on the trading of stock index futures. Based on the findings of this research, this paper puts forward some policy suggestions from four aspects to promote the development of China's financial derivatives market.The dissertation maybe has the following innovations and research findings:First of all, this paper uses structural change test to identify the structural change of the future-spot relationships in CSI 300, SSE 50 and CSI 500 stock index futures, and then divides the development of each futures into several stages according to result of basis' strucutual change test. The paper then analyzes the characteristics of each stage from the perspective of arbitrage. The Granger causality test and the vector error correction model are used to analyze the characteristics of each stage.Secondly, thanks to the rethinking on the structural change of the relationships of futures-spot happened in Chinese stock index futures market in 2015, the paper combines the classical theory of stock index futures pricing with the reality of Chinese cash markets, and extends the general equilibrium pricing model by taking into account the factors of suspension and price limits in cash markets. By estimating the model with break regression method, the paper analyzes the influence of this factor on the mispricing of stock index futures. The result shows that the stock suspension factor significantly affects the mispricing of stock index futures contract during the abnormal fluctuation of stock market. This finding deepens the understanding of the pricing mechanism of China's stock index futures market, and has important theoretical reference value for explaining the abnormal performance of China's stock index futures market during the abnormal fluctuation of stock market in 2015.Thirdly, in view of the structural change caused by the policy adjustment of China's stock index futures market in September 2015, this paper makes an empirical analysis and comparison from three aspects:the futures market, the spot market and the two-way spillover relationship between futures and spot markets. The research measures the impact of the policy adjustment on the market, and provides some reference value for policy makers and market practitioners. |
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