| With the development of China's financial system reform,the dominant position of financial market in the allocation of resources has become increasingly prominent.Financial markets have been reconciled with each other and complement each other.The introduction and development of stock index futures play an important role in the price discovery,risk management,asset pricing and so on.However,The introduction of stock index futures provides stock market investors with new products that help them evade price risk and make portfolio investment,however,which does not mean that risks on the capital market have been eliminated and extent of effective market has been achieved.Because the stock index futures market is not sufficiently perfect and the problems in price discovery and system risk transfer functions are still remaining from its establishment to the present,the efficiency of stock index futures market is still to be improved.The efficiency of stock index futures market is reflected in three aspects: pricing efficiency,price discovery efficiency(information efficiency)and risk management efficiency.For studies on stock index futures problems,most people usually focus on its price discovery and hedging functions,but these cannot give a good market adjustment program.This paper builds an index of interrelation between stock index futures and physical market – mispricing.Based on this index,this paper discusses the efficiency,price discovery,hedging,arbitrage and other issues of China's stock index futures market from an alternative perspective.The efficiency of the stock index futures market is measured by the mispricing,and the influence of market factors on the mispricing is proved.So it provided regulatory tools to improve the efficiency of the market.In this paper,the first chapter and the two chapter introduce the background and academic research.The Third and four chapter analysis the characteristics and causes for the mispricing,explore the relationship between the characteristics and mispricing on China's stock index futures market and the main variables,to discuss the causes of mispricing from the point of view of investors' utility perspective and market system.The five or six and the seven chapter is the application part of the mispricing,and discusses the application of pricing bias in the measurement of market efficiency,hedging efficiency and arbitrage.Concretely,this paper covers eight chapters:Chapter 1 gives the introduction of this paper.This section describes the research background,significance and planning,structural framework,innovation and expectation,and other issues of this paper,and concludes and summarizes the functions,trading system and others of China's stock index futures after the development courses of world and Chinese stock index futures are reviewed.Then,in combination with the state of the art of China's financial market and the background of China's financial market reform,it analyzes the necessity of stock index futures development and the importance of stock index futures in China's financial market reform and resource allocation.Meanwhile,this paper has combined with the academic research results and demonstrated the significance of this study.In the foreign academia,the stock index futures mispricing always exists as a subordinate“product” of stock index futures pricing theory and basis investigation,but it has its own features in fact.By investigating the stock index futures mispricing,omissions in the study on stock index future pricing are redeemed,which has a positive effect on the rational pricing of stock index futures.Moreover,this chapter describes the frame structure and research logic of this paper,summarizes the innovation and shortcomings of this paper,and makes a prospect for the future research.Chapter 2 sets out the literature review.This chapter summarizes the current research field and research status of stock index futures,including five parts:(I)Stock index futures pricing.Based on the traditional stock index futures pricing model,this paper reviews the development of stock index futures pricing theory and summarizes the advantages and limitations of various futures pricing theories,which provides a reference for the selection of the theoretical price of stock index futures in this paper.(II)Discussion on futures mispricing.The literatures on mispricing are few.Most of them are centered on the causes of mispricing,i.e.,system and market reasons attributed by the predecessors.They provide an important reference for the study of this paper.(III)As the stock index futures mispricing is an important manifestation of stock index futures market efficiency,this part summarizes the previous research results from the pricing efficiency and informational response efficiency of stock index futures,and other aspects,simplifies the efficiencies of stock index futures into its price discovery and hedging functions,and summarizes the current situation of its price discovery ability an hedging research,as well as the direction of future research.(IV).Research on arbitrage model.Arbitrage activity is theoretically perfect,but there are arbitrage risks in reality.The literature research on arbitrage theory and practice is helpful to guide the research on the futures and spot market arbitrage.Chapter 3 describes the features and cause analysis of China's stock index futures mispricing.This paper analyzes the features presented in China's stock index futures mispricing,the difference and relationship between stock index futures and basis in the thinking framework of raising,analyzing and settling a question,as well as the relationship between the essential financial indicators of interest rate and exchange rate and the stock index futures mispricing,and finally performs factor“decomposition” of the mispricing based on the stock index futures mispricing model under the effect of return-risk from the perspective of investor utility and makes positive analysis.It is ultimately considered that the investors' expectations in returns and fluctuation of physical market are root causes that affect the stock index futures mispricing.From the perspective of market liquidity and market trading system adjustment,and so forth,Chapter 4 introduces a speculation model to analyze the effects of changes in trading system on the mispricing by using the opportunity of important adjustment of market trading system made by China Financial Futures Exchange on September 7,2015.Analysis shows that increase of transaction cost and reduction of market liquidity are important reasons for the change of mispricing.The influencing factors of mispricing are analyzed institutionally,which provides the market regulators with feasible suggestions to adjust and control the stock index futures mispricing and plays a great significance in improving the stock index futures pricing efficiency.Chapter 5 analyzes the efficiency of China's stock index futures market in the "stock market crash",which from the price discovery function of futures market,discusses the volatility spillover effect of futures and spot markets,stock index futures market pricing efficiency and other issues based on the mispricing.Research finds that the stock index futures plays a stabilization role in the stock market and has no extreme changes in the “stock market crash” which affect the stock index futures pricing efficiency.In Chapter 6,hedging is one of basic functions of the stock index futures.The successful implementation of hedging needs measurement of a favorable hedging ratio,but the determination of hedging ratio needs good estimation of two market risks.Mispricing is an important indicator for estimating the deviation of stock index futures price from the justified price,and calculation of hedging ratio can be optimized with consideration of mispricing.This section gives the aforesaid description.As stated in Chapter 7,mispricing is specific embodiment of pricing distortions of stock index futures and spot markets and also an indicator for distinguishing the arbitrage opportunity.However,the changes in the futures and spot market structure have a strong impact on the arbitrage efficiency.From the selection of arbitrage models,this section provides some references for further reinforcing the market stability and selecting a rational arbitrage model to estimate the arbitrage opportunity.Chapter 8 sets forth the conclusion of this paper.This section summarizes the research in the above chapters and makes a prospect for the direction of future research in combination with the respective inadequate research. |
PDF Full Text Request