Because stock index futures have the characteristics of low transaction cost, low margin ratio and high leverage ratio, the introduction of stock index futures will reduce some investors who prefer high risk from the stock market to the futures market in a short period of time, resulting in a certain capital crowding out effect, and stock market funds will flow to the futures market, resulting in temporary blood loss in the stock market. Japan encountered this situation in the early days.
Another function of stock index futures is to attract off-exchange funds. Because stock index futures provide investors with a tool to avoid risks and expand their choice space, it will attract a large number of off-site wait-and-see funds to substantially intervene in the stock market. In addition, it can also reduce the accumulation of funds in the primary market.
To sum up, when we analyze the impact of stock index futures on the size of stock market funds, we should consider both the outflow of funds and the inflow of funds outside the market. The empirical study of American stock market by Kuserk and Cocke 1994 shows that after stock index futures trading, the capital and liquidity of the stock market have been greatly improved because of attracting a large number of arbitrageurs and hedgers, and the trading volume of the stock market and futures market has been promoted in both directions. Judging from the current situation in China, due to the high degree of risk aversion of open-end funds, social security funds, insurance funds, enterprise annuities, QFII and other large funds, they do not participate or only partially participate in the stock market. In addition, China's high bank deposits can't find a way out, and the scale of OTC funds is huge. After the introduction of stock index futures with hedging function, the potential capital inflow is far greater than the possible capital outflow. Therefore, we boldly believe that the introduction of stock index futures is expected to increase the capital scale of the stock market.
2. Impact on stock market liquidity
The experience of overseas stock index futures development shows that stock index futures and stock market transactions are complementary and mutually reinforcing. Due to the large demand for arbitrage, hedging and other investment strategies, stock index futures will increase the demand for stock trading, thus increasing the liquidity of the stock market.
3. The impact on the stock market structure
The introduction of stock index futures will increase the polarization of the stock market, the allocation of funds will be tilted towards index stocks, and the concentration of funds of blue-chip stocks will be further improved. An important feature of China stock market is that the stock index is driven by a few blue-chip stocks. Therefore, most stocks tend to fall and the stock index rises. After the introduction of stock index futures, the hedging and arbitrage operations of institutional investors will greatly increase their demand for index stocks in the spot market, push up the price of index stocks, and then attract a large number of retail investors to follow suit, further pushing up the stock price; The activity of non-index stocks will shrink day by day, and the liquidity of small-cap stocks will gradually lose and be marginalized. Damodarn et al. (1990) conducted an empirical study on sample stocks of S & P500 index, and the results showed that the market value of sample stocks of index increased more than twice than that of non-sample stocks within five years after stock index futures trading. Therefore, the introduction of this stock index futures will make the market undergo a structural adjustment of survival of the fittest, the blue-chip market will be further optimized, and the small-cap stocks will be relatively weakened.
The introduction of stock index futures will change the pattern of unilateral market in the past, diversify investment subjects and investment models, and make the rules of the market more reasonable. All kinds of investors with different risk-return preferences can use the powerful tool of stock index futures to choose their own investment portfolio, thus hedging risks and realizing the risk-return ratio in line with their capital nature. The investment methods have also extended to hedging, arbitrage and speculation, and the depth and breadth of the market will be greatly expanded, and the market investment methods and investors will tend to be diversified, thus promoting the healthy development of the stock market.
4. Impact on stock price fluctuation
Stock index futures have the function of "helping up and down" in the short term, which can stabilize the stock price in the long term and make the stock market valuation more reasonable.
In the short term, stock index futures will help the bull market to rise and the bear market to fall. Stock index futures have the characteristics of high leverage and low cost. In a bull market, investors buy stock index futures, and arbitrageurs will sell futures and buy stocks, thus accelerating the rise of the stock index. In a bear market, investors who are bearish on the market outlook will sell a lot of stock index futures, and arbitrageurs will buy stock index futures and sell the spot, thus accelerating the decline of the spot index. However, the introduction of stock index futures can only be said to amplify the rise and fall of the stock market, and does not determine the rise and fall.
In the long run, the introduction of stock index futures has diversified investors' investment strategies and strengthened the information transmission mechanism in the spot market. The existence of programmed trading, arbitrage trading and other trading methods makes it impossible for the price to deviate too far from the basic value. If the stock index price is overvalued or undervalued, arbitrageurs will immediately respond and bring its price back to a reasonable level, so the pricing efficiency of the stock market will be improved.
Therefore, the introduction of stock index futures will promote the stock market to be more perfect and mature, investors will be more rational, abnormal stock prices will be reduced, and it will play a role in stabilizing the stock market in the long run.
5. Impact on stock price
For investors, the focus of attention is how and to what extent the introduction of stock index futures will affect the stock price. Next, we will analyze the key factors that determine the stock price and the transmission mechanism of stock index futures affecting the stock price.