| In recent years, with the rapid development of Chinese economic, the scale of thecapital continue to grow, the capital market is being perfect gradually, the financialmarket of China is becoming more and more internationalization, the dominant role ofinstitutional investors in financial market become obvious, it create a solid foundationto the innovation of financial tools. In addition, the across international capital flowshave become increasingly frequently, as an innovative financial tool of every kind ofstock index futures contracts, not only in the stock market of developed countrieslaunch competitively, it also has been introduced to the stock market of emergingcountries, the stock index futures contracts develop rapidly in the internationalsecurities market.In order to promote the further development of Chinese capital market, toimprove the international competitiveness of Chinese securities market, Chinese HS300stock index futures contracts officially listed transactions on April16,2010. It hasthe epoch-making significance of deepening the development of Chinese capitalmarket, it will also play a positive role for building a harmonious society in China.This paper is based on the perspective of industry, the event that the launch of the HS300stock index futures produces the impact on different industries of Chinese capitalmarket. This paper takes the CSRC on the security market industry classificationguidance as the goal, based on the industry to which sample stocks of HS300stockindex belongs, study the effects of the introduction of stock index futures to differentindustries of our stock market.This paper adopts the method of event study, selects the specific event that HS300stock index futures launched on the official trading generates universal influenceon Chinese whole capital market. In order to study the influence of HS300stockindex futures officially launches to each industry which the constituent stocks of HS300Index covered, this paper selects15industries based on the industry of theconstituent stocks of HS300stock index, and then accords to the weight theconstituent stocks of HS300index stocks accounted for or basing on the flow of themarket value of each stock selects the sample stock of each industry, according to thecorrelation of sample stocks and the constitution stocks of HS300stock index, the15 industries average divides into three groups of high, middle and low correlation group.Secondly, each stock yield data of sample stocks of each industry this paper selectsfrom June23,2009to May17,2010, with180trading days before the event days asthe basis, estimates the normal yield of each stock, and then calculates the abnormalreturn of each stock and its industry during the event, and calculates the cumulativeabnormal return of each stock and its industry during the event at the end.Through empirical study, this paper obtains the charts of the cumulativeabnormal return of each industries based on three groups, a comparative analysis ofdifferent effect of the HS300stock index futures officially launched to all industries.The results show that: the launch of stock index futures increased the volatility ofmost industries, especially to the low correlation group which every different industryincreases its volatility, and it has a significant negative value effect to the N,L and Rindustry, and has a positive value effect to the S industry, and the value effect of the Aindustry is not significant; while for different industries of high correlations groupexist two cases: increasing volatility or not significant effect to the volatility, and ithas a positive significant value effect to the B,CQ and K industry, and it has asignificant negative value effect to J and G industry; the volatility effect of differentindustries within middle correlations group after the launch of HS300stock indexfutures increases significantly, and it has a positive value effect to F and E industry,and has significant negative value effect to the I industry, the value effect of D and CJindustry is not significant.Through the study of this paper, on the aspect of theory it provides objectiveconclusions about the launch of HS300stock index futures brings the influence to thedifferent industries that the HS300index include, not only for the investors toparticipate in the various transactions of investment, has a guiding role to play areasonable function to avoid risks and hedging, but also provides referencesignificance for regulators to supervise the security market effectively take industry asthe goal, maintain the stability of the spot market, control the risk of capital market,avoid the huge volatility in the real economy. |
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