Research On The Effect Of Refinancing On The Information Efficiency Of The CSI 300 Index Futures

In the year of 2014, the capital market of China has deepening the reform comprehensively and the margin trading has also achieved leap development. In this year, the turnover of margin trading grossed over 10 trillion yuan and the net residue grossed over 1 trillion yuan. This is inseparable from the system of refinancing. Refinancing is more and more important in 2015. With the development of short selling, the transaction scale of securities loan is much bigger than before. The influence of refinancing on information efficiency is obvious. This thesis analyzes the effect of refinancing on pricing efficiency of CSI 300 index futures and also tries to explore whether credit trading can improve the market efficiency of China.First of all, we compare typical refinancing model in the world. There are three models including disperse credit model in America and single credit model in Japan and double credit model in Taiwan of China. Refinancing model in our country is as same as Japan. This is because our country’s credit mechanism and supervision system are not perfect and investors in China are not rational. Single credit refinancing is good for our government to control risk. Refinancing can affect margin trading in many aspect. Firstly, the influence of refinancing on short selling is bigger than on short purchase. Secondly, the securities which can be margin trading is much more than before. Thirdly, more and more investors open credit accounts after refinancing be set up in our country. In addition, the thesis also offers a brief analysis of the relationship between margin trading and index futures. We believe margin trading will influence index futures in the future.The second, we compare the concept of price discovery, pricing efficiency and information efficiency. The core of researches on price discovery and pricing efficiency is the price. But information efficiency can decide the process of price discovery and pricing. So the concept of price efficiency is no difference with information efficiency in our thesis. We will find out the information content and reaction speed of price. The theoretical basis of information efficiency is efficient market hypothesis. Many factors will affect market efficiency. Trading system is an important one. Margin trading can generate signal and convey information in the process of pricing. And the leverage of margin trading is helpful for price finding. We suppose the time required by price finding under short selling system is longer than short purchase system.The thesis combines theoretical and empirical analysis. We use high frequency CSI 300 and CSI 300 index futures data between February and August in 2015. After compared empirical analysis results, we came to the conclusions that refinancing can both increase the content of information and reaction speed of CSI 300 index futures. But we also find out that refinancing do not equilibrate positive and negative information in index futures market. So refinancing need continue the development in the future.The market risk keep on rising in the second half of 2015. Faced with this situation, we should pay equal attention to margin trading and market risk. We give some suggestions in the end of our thesis. The first, keeping on improving margin trading. The second, increasing underlying stocks quantities of margin trading. The third, encouraging institutional clients to participate in margin trading. The fourth, improving risk control ability of securities companies. The last, strengthening the awareness of risk undertaken.