Table 1 research object selection
First, the operating characteristics and price reflection mechanism of spot index before and after the introduction of stock index futures
1? My pleasure? Operating characteristics of spot index before and after futures launch
On February 24th, 1982, Kansas Commodity Exchange took the lead in launching the first stock index futures contract-the value line composite index contract. In April of the same year, Chicago Mercantile Exchange launched the most successful futures contract with the largest trading volume in history-S&; P500 stock index contract. However, in the second half of 1983, the prices of new shares and technology stocks in the US stock market plummeted. 1September, 1988, Tokyo Stock Exchange and Otsuka Stock Exchange launched Zhengdong Stock Index and Nikkei 225 Stock Index futures respectively. 1990 1, the Japanese stock market turned into a big bear market, falling more than 60% in a year and a half. 1In May 1986, the Hong Kong Futures Exchange launched Hang Seng Index Futures, and1In June 1987, a large-scale stock market crash occurred in Hong Kong stocks. Especially in the Asian financial crisis, some scholars also believe that Singapore and Thailand have introduced stock index futures in advance. These events really deserve our in-depth discussion.
However, through the preliminary analysis of the chart, we can see that in the long run, the introduction of index futures can not change the medium and long-term trend of the spot market index, and the decisive factor that determines the medium and long-term trend of the index is the fundamentals.
Figure 1 index trend
The introduction of stock index futures has little effect on the trend and fluctuation of spot index in the long run, and the trend of spot index depends more on its fundamentals; In the short term, the introduction of stock index futures in different regions and at different times has a certain impact on the trend and fluctuation of spot index, and the specific situation is analyzed in detail.
2? What's the matter with you? Price reflection mechanism based on
We study the price reflection mechanism between stock index futures and spot index in mature market environment. The data object is s&; P500 Index and its futures, Hang Seng Index and its futures, KOSPI200 Index and its futures, Taiwan Province Weighted Index and its futures. The time scale of data is from August 2004 to September 2006. For the corresponding index and futures prices, this paper establishes a vector error correction model and makes Granger causality test.
Table 2 Unit Root Test, Autoregressive Test, Cointegration Test and Granger Causality Test
At 90% confidence level, S&; P500 and KOSPI200 reject the null hypothesis that futures are not an index influencing factor, indicating that there is a one-way price leading relationship between stock index futures and spot index. We give the leading relationship diagram of spot index price and stock index futures price in the mature stage of futures market.
Fig. 2 the leading relationship between spot index price and stock index futures price in the mature stage of futures market
In a mature market environment, stock index futures basically play a pricing advantage, but the pricing efficiency depends more on the structure of market investors and the liquidity of transactions. In the investment structure, the higher the proportion of institutional investment, the stronger the market liquidity (S&; P500 and KOSPI200), the more effective stock index futures can be. Therefore, in order to make the upcoming Shanghai and Shenzhen 300 index futures play a better role, institutional investors should be encouraged to enter the futures market, improve the credit trading mechanism, and then improve the liquidity of the market.
3? Double rhyme only has a harmonious ⊥ squat head shape?
In the short term, because index futures have convenient indexation investment function, it has a certain diversion effect on stock market investment funds, especially for funds and some institutional investors who attach importance to indexation investment. But in the long run, the introduction of stock index futures will only promote the active trading of the stock market and the reasonable fluctuation of prices, thus making the stock market develop more healthily.
The empirical study of American stock market by Kuserk and Cocke( 1994) shows that after the introduction of stock index futures, the scale and liquidity of the stock market have been greatly improved, and the trading volume of the stock market and futures market has been promoted in both directions. Jegadeesh et al. (1993) studied S&: The influence of P500 index futures on the liquidity of stock market. They use the price difference as an indicator of liquidity. They have two hypotheses: first, when investors with information go to the futures market to trade, the market creators are at an information disadvantage, so the stock spread is enlarged and the liquidity is poor; Second, futures play the role of hedging, and market creators can use future positions to adjust their inventory positions, so that the stock spread is reduced and the liquidity is better. The empirical results show that S&; The average spread of P500 stocks increased significantly. Li Cunxiu and other scholars (1998) take Hong Kong Hang Seng Index Futures as an example to study the impact of stock index futures on spot market turnover. They use the turnover rate as an indicator of liquidity. They believe that the listing of stock index futures may have three effects: first, the high leverage of futures attracts transactions for speculation, and credit transactions in the stock market may be transferred because of the emergence of stock index futures; Second, index futures provide hedging tools to increase investment willingness and increase spot market turnover; Third, index futures have the function of revealing prices and attract arbitrage transactions. After the listing of HSI futures, the turnover rate of both constituent stocks and non-constituent stocks increased by more than 80%, indicating that the market liquidity increased significantly, supporting the net complementary relationship between futures and spot trading volume.
Because of the existence of arbitrage opportunities, the trader structure of stock index futures will change. In addition to speculators and risk aversion, arbitrage and procedural trading will become more popular in the market. Because institutional investors have relatively rich manpower, equipment and information sources, they can give full play to their advantages. Therefore, after the establishment of the stock index futures market, the investment structure dominated by retail investors will gradually be replaced by legal institutions with relatively rich resources, and overseas funds have increased their investment interest in this market and are more willing to invest in this market because hedging has changed their portfolio allocation. Therefore, the investment proportion of institutional investors will increase.
For institutional investors, the investment stock selection strategy focuses on the fundamentals and the overall situation, and the ownership structure is often determined according to individual equity weights. The constituent stocks included in the stock price index naturally become the stock selection targets. The performance appraisal of fund managers is also based on the performance of leading the market. Therefore, after the establishment of the stock index futures market, while the investment strategy tools are diversified, the difference between choosing stock index futures constituent stocks and choosing non-constituent stocks will become larger and larger. The research shows that the constituent stocks of the stock index have high liquidity and yield.
On the whole, after the introduction of stock index futures, the market investment funds may change as follows: (1) The proportion of institutional investment funds in the stock market will increase, and the market of stock index futures will gradually expand; (2) Programmatic arbitrage involving spot index and stock index futures will attract some funds to be diverted; (3) In the long run, both markets will attract net capital inflows, and to a certain extent, the trading volume of the two markets may show a net complementary relationship; (4) Stock index futures can stabilize the fluctuation of stock price in the corresponding index; (5) The investment funds in the stock market may tilt towards the heavyweights in the index.
Secondly, the fluctuation and information reflection characteristics of spot index before and after the introduction of stock index futures.
Stock index futures have market functions such as hedging, arbitrage and speculation. Among them, due to information asymmetry, the speculative convenience of stock index futures will make speculation active, which will make the stock index futures price deviate from its theoretical pricing in a short time; However, the occurrence of market arbitrage will theoretically make the price trend of stock index futures and spot index tend to be consistent (which leads to the price trend of stock index futures can predict the stock price trend to a certain extent). Therefore, enough counterparties brought by speculative activities and the basic consistency of stock index futures and spot index prices ensure that hedging transactions can successfully achieve accurate hedging of stock index futures and spot indexes, thus playing a role in transferring spot price risks.
This report uses a certain model to study the fluctuation of spot index before and after the introduction of stock index futures and the structural change of information's influence on fluctuation.
1? Take the place of Mei Nan Rui bran pepper?
GARCH model has great advantages in describing the volatility of financial assets, which can describe the clustering and time-varying characteristics of income fluctuations. Considering the asymmetric reaction of investors to good news or bad news in the securities market, asymmetric GARCH model has become an inevitable choice. In order to quantitatively study the characteristics of volatility that index futures can bring to the spot index, we adopt the GJR-GARCH (1, 1, 1) model introduced by Glosten, Jagannathan and Runkle( 1993), which is as follows:
2? Did the pen touch the core?
We study the logarithmic rate of return of stock index futures in 500 trading days before and after listing. By modeling and data processing the logarithmic rate of return in a specific time period, we get the following results:
Standard & Poor's. P500 Index: The volatility has not changed much. From GJR model and diagnostic test results, we can draw the following conclusions: (1) The influence of early information on market fluctuation has decreased; (2) The influence of positive information on market fluctuation is slightly strengthened; (3) The influence of negative information on the market is reduced to some extent, but the estimation test of this parameter before and after the introduction of stock index futures is not very significant. The parameter estimation of the influence of bad news on market fluctuation is not significant. The possible reason is that the short selling mechanism in the United States ("price increase trading rules" and "purchase return rules") can prevent the stock price from accelerating to a certain extent, and also prohibit short sellers from manipulating the stock price. The introduction of stock index futures enables investors to reduce the risk exposure of their portfolios through hedging operations in the market, thus reducing the occurrence of panic selling.
Hong Kong Hang Seng Index: 1987 The global stock market crash has a great impact. It may be 1987 that the global stock market crash had a great impact on the Hang Seng Index (the forced withdrawal of funds led to a large number of panic selling). We find that our model is not suitable for the change of bad news when it is difficult to quantitatively estimate the impact intensity. However, it is worth noting that the model shows that after the introduction of stock index futures, the influence of early information on market volatility has weakened, while the influence of good information on market volatility has strengthened, which is contrary to S&; The P500 index is similar.
KOSPI200 Index of South Korea: The volatility has increased, and systemic risks have not been effectively released. (1) In the past, the influence of information on the fluctuation of spot market became stronger, which was different from other markets. (2) The influence of favorable information on market fluctuation is enhanced; (3) The impact of bad news on the market has been reduced. In the past, the influence of information on market fluctuation was increasing, indicating that the systemic risk of the market has not been effectively released because of the introduction of stock index futures.
Weighted Index of Taiwan Province Province, China: There is no obvious change in volatility, and systemic risks have not been effectively released. (1) In the past, the influence of information on the fluctuation of the spot market became stronger, which was similar to the situation in the Korean market; (2) The influence of favorable information on market fluctuation is weakened; (3) Bad news has an increasing impact on the market. These situations are closely related to the evolution of cross-strait political relations during this period, which is more consistent with the specific situation that the stock market is constantly being hit by bad news brought by politics. The weakening of the influence of good information on market fluctuation shows that the stabilizing effect of good information on the market has weakened. The strengthening of the influence of information on market volatility in the past shows that the systemic risk of the market has not been effectively released because of the introduction of stock index futures.
Figure 3 Reaction of spot market after the introduction of index futures
3? Disadvantages?
Through the analysis of the above four markets, we get the following conclusions:
(1) The introduction of stock index futures cannot have much impact on the long-term trend of spot index, which mainly depends on economic, political and financial fundamentals.
(2) After the introduction of stock index futures, the overall fluctuation of spot index is limited, but the influence of information on fluctuation has changed to some extent in structure.
(3) After the introduction of stock index futures, from the perspective of a relatively stable political and economic market, the influence of previous information on fluctuations will be weakened, the stabilizing effect of good information on system risks will be enhanced, and the influence of bad news on fluctuations will be weakened to a certain extent.
Third, the stock market lacks the influence of short selling mechanism.
From the empirical analysis of the relationship between borrowing short selling mechanism and stock index futures pricing by foreign researchers, there are basically two views. One is that the lack of short-selling mechanism will affect the wrong pricing of stock index futures. The research of Joseph W Fung (1999) shows that the range and times of mispricing of stock index futures are obviously reduced after 1994 to 1996 abolished the short-selling restriction of constituent stocks and the Hong Kong stock market was opened 17 short-selling restriction of constituent stocks. Another view is that the lack of short selling mechanism will not affect the wrong pricing of stock index futures. For example, the analysis of Neal( 1999) shows that the lack of short selling mechanism is not the main factor affecting the mispricing of stock index futures. Gerald D.Gay( 1999) analyzes the Korean market, and it shows that after 1996 introduced the short selling mechanism in the Korean market, the mispricing of stock index futures became more serious. In addition, the empirical research on the German market shows that the expensive and limited short selling mechanism and computer trading system in the German futures market make the stock index futures appear surprisingly mispricing in the first year, and its annual mispricing rate is less than 0? 5%。
Table 3 Establishment of stock markets, stock index futures and short selling mechanisms in major countries and regions in the world
Most research results show that the function of credit transaction is neutral, which will not affect the normal operation of stock index futures market, nor will it cause the deviation between futures index and stock index; When market participants, especially institutional investors, have a large number of stock positions in advance, credit trading has no effect on arbitrage trading. We choose the second part of the model to analyze the data (data length is 100 trading days respectively) of KOSPI200 index futures before listing, from futures listing to the beginning of credit trading and after credit trading.
1? Baking? National market
We choose the model in the second part to analyze the data of KOSPI200 index before futures listing (stage 1), from futures listing to the beginning of credit trading (stage 2) and after credit trading (stage 3) (the data length is 100 trading days respectively).
From the statistical point of view, the introduction of credit trading mechanism increases the volatility of spot index, which makes the daily logarithmic rate of return deviate from the normal distribution. We have established the daily logarithmic rate of return GJR-GARCH (1, 1, 1) models of KOSPI200 index respectively, and analyzed whether the influence of good information and bad information on conditional fluctuation is different by comparing the parameters of the models and the test results of residual diagnosis.
After the introduction of stock index futures into the Korean market, in the absence of credit trading mechanism: (1) the influence of early information on spot market fluctuation weakened in a short time; (2) In a short period of time, the influence of favorable information on market fluctuation has weakened; (3) The impact of bad news on the market has increased in a short time. After the introduction of credit trading mechanism: (1) the influence of early information on spot market fluctuation is further weakened in a short time; (2) In a short time, the impact of bad news on the market is still increasing.
Fig. 4 The reaction of spot market after the introduction of KOSPI 200 index futures and credit mechanism.
2? Is it embarrassing? The possible impact of the introduction of the Shanghai and Shenzhen 300 index under the system
Through the above research and analysis, the introduction of Shanghai and Shenzhen 300 index futures in China should have little impact on the fluctuation of spot index in the medium and long term, and the trend and fluctuation of spot index are determined by both economic and political aspects. In order to estimate the short-term impact of stock index futures on spot index, we compare Shanghai Stock Exchange 180 index and Shenzhen Stock Exchange 100 index, and analyze the volatility of Shanghai and Shenzhen 300 index. The data lengths of the three indexes are different, but due to the close correlation, the latter two indexes can be regarded as long-term and medium-term approximations of the Shanghai and Shenzhen 300 Index.
We set up the daily logarithmic rate of return GJR-GARCH (1, 1) models of Shanghai and Shenzhen stock indexes, Shenzhen 100 index and Shanghai 180 index to test whether the positive and negative information have different effects on the fluctuation of index conditions on different time scales. In the short and medium term, the influence structure of information on the volatility of spot index is not very significant. But in the long run, the unilateral effect of the domestic market is obvious, and the positive information has obvious influence on the market fluctuation, while the negative information has no obvious influence on the market fluctuation, which is quite different from the market we studied. In the short term, the structure of the influence of information on the volatility of the Shanghai and Shenzhen 300 Index is similar to that before the introduction of stock index futures in the Korean market.
The influence of information on the volatility of CSI 300, SSE 180 and SZSE 100 index.
Considering the investor structure of the domestic stock market at present, and in the absence of an effective credit trading mechanism in the market, we estimate that after the introduction of stock index futures, the impact of bad information on spot index fluctuations will be more significant in the short term (1 to 2 years), and the impact of good information will be reduced. If the credit trading mechanism and stock index futures are launched at the same time or in the near future, the information structure changes brought about by the fluctuation of spot index may be superimposed. In other words, the impact of bad information on market volatility may be synchronous or further amplified, while the role of good information may be limited. Of course, the content design of credit trading mechanism and stock index futures has become very critical: considering that domestic funds cannot circulate freely in the world market at present, the key point is how to establish a credit trading mechanism design that effectively prevents speculation and manipulates stock prices, and how to establish a stock index futures contract design that effectively inhibits the scale of speculative funds, which will be a necessary consideration for the launch of new products and new trading mechanisms.
Oh, my God, Tian Wolf 50. Welcome.