The Efficiency And Depth Of Stock 300 Index Futures In The Context Of Control Measures

Stock 300 Index Futures has been developing rapidly in the past eight years.A mass of literature has studied on the relationship between Stock 300 Index Futures and the CSI 300 index especially the function of price discovery of Stock 300 Index Futures.However,the effectiveness of information seemed to have been forgotten.When measuring whether future market is working efficiently,we usually judge from two sides.One is whether the market can absorb information effectively,and the other is whether the market has the function of price discovery.Usually,only when the future market absorbs information effectively,can it discover the price,so the effectiveness of information is very important.In 2015,the price was unstable in both stock market and future market because of speculation.The government tried to help by improving service charge and cash deposit,which did not work well.On September 7^th,some much more serious policy was taken,which effectively reduced speculation,but at the same time,also rapidly and largely reduced the trading volume and open interest.Here comes the problem.Does the policy have an impact on the effectiveness of information and the depth of the future market?Traditional method can only tell us whether the market has effectiveness of information during an exact period,and the movement of the effectiveness of information is not found in this way.This paper selects daily data from the founding days to November 1^st in 2016 of the stock index futures market,builds time-varying state space model to dynamically investigate the evolution process of efficiency,and measures market depth dynamically with an innovation way.The study arrives at three conclusions.Firstly,the stock future market has been effective since the end of August in 2011 and the control measures on September 7 seriously damages efficiency.Secondly,the control measures dramatically reduces market depth.Thirdly,the depth can improve efficiency weakly,and after the implementation of the policy,market depth of promoting the efficiency significantly enhances.The control measures are so serious that most of the market participants cannot trade,which has a bad effect on the market liquidity and the efficiency for information reaching to the market.The government should be more careful when dealing with market and the speculating rate should be controlled between 4 and 8.5.Besides,the financial legislative system and supervision system should be better improved.