A Research On The Influence Of Stock Index Futures Market On Stock Market

This paper takes the stock index futures as the research object. The appearance of stock index futures is according to the demand of risk management of sotck market. Although having only more than 20 years development history, its transaction scale and market influence obtained rapidly growth. Stock index futures have became one of the most successful stock products of 20th century. Recently, following the question emergement that if China will prompt stock index futures, the fundamental research and explores of stock index futures have the important practical significance in Chinese finance research.We focus our research on the influence of stock index futures market on stock market, systemically studies the influence of introduction stock index futures to stock market. Because the situations of Hong Kong stock market are similar to Chinese stock markets, so we take Hang Seng index (HSI) and Hang Seng index futures price as the samlpe data. Based on the theories of econometric, we do empirical research on the long-term equilibrium between index price and index futures price. Otherwise, we studied the influence on the investor behavior after introduction index futures in order to get useful conclusion and suggestion for the development of Chinese stock index futures market.The main conclusions of this paper are as follows: firstly, there exist long-term equilibrium between HSI price and HSI futures price. The error correction model shows that HSI price and HSI futures price have highly consistence. Secondly, based on the feedback trading model, the results of empirical analysis in Shanghai Composite Index, Shenzhen Component Index and HSI show that there are asymmetric impact of past innovations on the stock index daily return volatility and significant positive feedback trading in all the Shanghai, Shenzhen and Hong Kong stock markets before the introduction of HSI Futures. Specifically, the discovery of most interest in the paper is that we find the introduction of HSI Futures trading has observably reduced the impact of positive feedback trading in Hong Kong stock market.