SSE 50 ETF Options And SSE 50 Stock Index Futures Market Efficiency Research

The first stock index futures contracts officially launched in China on April 16,2010,which has been relatively stable running for six years,its market liquidity runs sufficiently,its market efficiency plays effectively,and solved the problem of the risk of investors to hedge.Based on this,our country launched and the SSE 50 index futures and CSI 500 stock index futures to perfect the stock index futures contract varieties on April 16,2015.On February 9,2015,the domestic first stock option contract is listed on the SSE 50 ETF options that enriched the financial derivatives market further.The SSE 50 index futures and SSE 50 ETF options has certain deficiency if compared with the mature of the derivatives market because of the short time of the market.And there has to undergo a long process of development from just listed to the mature stage.So market efficiency is the criterion for determining whether a mature market development.The two kinds of financial derivatives have been under development for more than a year,these problems such as the levels of the SSE 50 index futures and SSE 50 ETF options market efficiency,the ways to improve the market efficiency of futures,options,increase liquidity in the market have received extensive attention of academia and practice.In order to provide policy recommendations to these investors,exchanges and regulators,this paper select the SSE 50 index futures and SSE 50 ETF options which listed more than a year as the research object to find its market efficiency under the background of those research.In developing financial derivatives markets,market efficiency is the core issue of pricing.To measure market price discovery mechanism,reflects the quality of the trading information.The meaning of financial market efficiency consists of two aspects,the first is the efficiency of information,and the second is the pricing efficiency.Information efficiency refers to the price of their financial assets is independent of each other in different time,and the present characteristics of random walk.The price of financial assets can be reflected in the historical price contains all the information fully and quickly.In this paper,we study the pricing efficiency of whether there certain the correlation between spot and financial derivatives refers to financial price.Based on the SSE 50 index,the SSE 50 index futures and SSE 50 ETF and high-frequency trading data of SSE 50 ETF options,this article test market efficiency of financial derivatives market from two aspects of information and pricing efficiency.Firstly,this paper though the random walk process to test the effectiveness of the market,and the correlation is the most direct way to test that whether a time series of Pt is random walk sequence.Secondly,in this paper,ADF unit root test,Johansen cointegration test,error correction model were used to test the market pricing efficiency by examining the SSE 50 index,the SSE 50 index futures,SSE 50 ETF and the SSE 50 ETF options the futures and options whether has a cointegration relationship between implicit price to test the market pricing efficiency.In this paper,three conclusions are drawn:(1)the results based on the autocorrelation test and runs test show that the SSE 50 index,the SSE 50 ETF,the SSE 50 index futures and SSE 50 ETF options market has reached the weak type of effective market.(2)the spot and futures and options markets are pricing efficiency,as SSE 50 index,the SSE 50 index futures,SSE 50 ETF market and the SSE 50 ETF has a long-term equilibrium relationship between the option price based the perspective of the results of pricing efficiency test.However,this arbitrage time won't last long.(3)from SSE 50 index,the SSE 50 index futures and SSE 50 ETF market and the SSE 50 ETF can lead lag results between option price,SSE 50 index 5 minutes ahead of the SSE 50 index futures,and the SSE 50 index futures ahead of the SSE 50 index for 10 minutes,the futures market in price discovery function in a dominant position.While the SSE 50 ETF and the SSE 50 index futures price discovery function of the two.Investigate its reason,the author believes that the price discovery function of futures markets have been better,the futures market liquidity is good in the options market because of the options market compared to the futures market,trading rules more complex and more difficult.Conclusion shows that the SSE 50 index futures and SSE 50 ETF options market are not weak form efficient.For this problem,some measures were suggested to be taken to improve the efficiency of futures,options,derivatives market.Including improve margin system,perfecting the spot trading system,improve the types of derivatives.