Research on the Relationship between Stock Index Spot Market and Futures Market

Author: Xiao Hui
Publisher:
Publish Date: 2006-09-01
Features: The content of this book is divided into three parts. The first part analyzes the development status of global stock markets and stock index futures markets, primarily introducing the development of stock markets in the 1990s and the 21st century, as well as China's current position in the global stock market. The second part, starting from the actual conditions of the stock index spot market and the index futures market, compares the microstructure of the spot and futures markets under the presence of transaction costs and short-selling restrictions in the spot market, enriching and developing the theory of financial market microstructure. It proposes a spot pricing model based on futures contracts and further validates the conclusion that futures price information plays a significant role in predicting spot prices through a comparison of the predictive capabilities of the index futures market. The third part studies how to control risks in the stock index futures market, comparing the relationship between stock index futures and the volatility of the underlying index, and conducting an in-depth research on the margin system, price limits, and market circuit-breaker mechanisms of index futures.