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署度齐
5 years ago
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1 A Abstract With the background of China being troubled with overseas listing of Chinese index future, this paper analyses the reactions of local stock markets towards overseas listing of their index future around the world. It is revealed that one factor of critical importance is the order whether the local listing earlier or later than overseas listing. If overseas listing precedes local listing, then impacts of overseas listed index future on local stock market usually tend to be stronger and local stock market unanimously fall when such thing happens. Keywords Financial derivatives, Stock index future, Overseas listing / / / /

2 A B / A B ADR HKEx H CBOECFE / A 2003 SGXHKEx A (SIMEX) 225 H CBOE / / / 1. H SGX CBOE CBOE CFE MSCI SGX MSCI SGX S&P CNX Nifty SGX SGX H CBOE H ADR H ADR 4 SIMEX

3 CME CME SGX S&P/TOPIX 150 CME MSCI SGX HKEx OSE OMX EDX EDX London SGX CME MSCI 3 S&P 2 3 Finnerty and Park 1987 Kawaller et al Stoll and Whaley 1990 Chan 1992 Huang and Stoll 1994 De jong and Donders 1998 Harris (1989) Damodaran(1990) Lockwood and Linn(1990) Lee and Ohk (1992) Antoniou and

4 Holemes 1995Chang, Cheng and Pinegar 1999 Edwards (1988a, b) Grossman (1988) Bechetti and Roberts (1990) Bacha and Vila (1994) Galloway and Miller 1997 Damodaran 1990 S&P500 Booth et al OSE SGX CME 225 Coving et al TSE 225 OSE SGX % 42% 33% * * TAIFEX * HKEx

5 S&P CNX Nifty NSE OSE OSE S&P/TOPIX 150 ** TSE MSCI OSE CME OMX Stockholmsbörsen * (TAIEX) MSCI MSCI TAIEX MSCI (TAIEX) MSCI MSCI ** t =0 t AR 1 2 AR AR 1 > AR 2 5

6 4 R 1 R 2 R = Rt, t 0 1 = 1/ n R2 = ( Π(1 + R t )) 1 tn=2 or 3 CAPM 1 10 R N R N 0 1/10 = [ Π t= 9 (1 + Rt )] 1 t AR AR 1 2 = R 1 = R 2 RN RN 2 Bloomberg [-9,0] R 1 6

7 [-1,1] [-1,1] / 3 / / 7 4 / 4 OMX % % 7

8 3 / t=0 [-9,0] R N a a R 1 AR 1 R 2 AR 2 H b % -1.00% -1.23% % -0.45% CBOE b % 0.17% 0.83% % 0.98% % 0.86% 0.50% % 0.05% MSCI % 2.75% 2.09% % 1.06% c % -1.01% -0.78% % -0.23% % 0.83% 1.10% % 1.02% CME % -4.75% -4.04% % -2.55% CME % -2.07% -2.45% % -0.74% % -1.48% -1.84% % -1.13% % -0.34% -0.27% % -0.10% S&P/TOPIX % -0.85% -0.48% % -0.64% CME S&P/TOPIX % 2.67% 2.63% % 0.72% MSCI % 1.68% 1.61% % 0.92% MSCI % -1.94% -1.66% % -0.77% OMX % 1.27% 1.21% % 1.00% OMX OM London % 0.62% -0.06% % -0.68% 8

9 MSCI d % -0.12% -0.30% % 0.88% % -1.22% -1.35% % -0.76% % -2.05% -1.34% % 0.39% CBoT % 0.77% 0.64% % 0.49% CBoT % 0.36% 0.56% % 0.37% % -1.98% -1.66% % -0.52% % -0.52% 0.15% % -0.59% S&P CNX Nifty % -1.83% -2.77% % -1.65% S&P CNX Nifty % 2.06% 3.25% % -0.39% a [-9,0] R 1 b c MSCI MSCI d MSCI MSCI 9

10 Booth et al Coving et al SIMEX CME SIMEX % -0.78% 3 MSCI SIMEX 1997 MSCI TAIEX 0.12% -0.3% 3SIMEX 10

11 A 225 MSCI A A A A SIMEX 1998 MSCI SIMEX MSCI SIMEX 1986 MSCI SIMEX MSCI 2.75% 2.09% 3 MSCI S&P CNX Nifty S&P CNX Nifty IISL NSENSE S&P CNX Nifty 9 NSE NSE S&P CNX Nifty 2.06% 3.25% 3 NSE S&P CNX Nifty 3 11

12 NSE 0 OMX OMX 30 OM SIX AB 1987 OM OMX OM OM OM London OMX OMX 0.62% -0.06% MSCI

13 1. Antoniou, A. and Holemes, P., 1995, Futures trading, information and spot price volatility-- evidence for the FTSE-100 Stock Index Futures contract using GARCH, Journal of Banking and Finance, 19, Bacha, O. and Vila, A.F Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets Pacific-Basin Finance Journal Bechetti, S., Roberts, D.J., 1990 Will increased regulation of stock index futures reduce stock market volatility? Federal Reserve Bank of Kansas City Economic Review (November/ December) Booth, G.G., Lee T. and Tse, Y., 1996, International linkages in Nikkei stock index futures markets, Pacific-Basin Finance Journal, 4, Chan, K., 1992, A Further Analysis of the Lead--Lag Relationship Between the Cash Market and Stock Index Futures Market, The Review of Financial Studies, 5, Chang, E.C., Cheng, J.W. and Pinegar, J.M.,1999,Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets, Journal of Banking and Finance, 23, Coving, V., Ding, D.K. and Low, B.S., 2003, Price discovery in informationally-linked markets: A microstructure analysis of Nikkei 225 futures, Working paper 8. Damodaran, A., 1990 Index futures and stock market volatility Review of Futures Markets De jong, F. and Donders, M.W.M., 1998, Intraday Lead-Lag Relationships Between the Futures, Options and Stock Market, European Finance Review, 1, Edwards, F.R., 1988a Futures trading and cash market volatility: Stock index and interest rate futures Journal of Futures Markets Edwards, F.R., 1988b, Does futures trading increase stock market volatility? Financial Analysts Journal Finnerty, J.E. and Park, H.Y., 1987, Stock index futures: Does the tail wag the dog? A technical note, Financial Analyst Journal, 43, Galloway, T.M and Miller, J.M., 1997, Index futures trading and stock return volatility-- Evidence from the introduction of MidCap 400 index futures, The Financial Review, 32, Grossman, S., 1988 Program trading and market volatility: A report on intraday relationship Financial Analysts Journal Harris, L., 1989 S&P 500 cash stock price volatilities Journal of Finance Huang, R. and Stoll, H., 1994, Market microstructure and stock market predictions, Review of Financial Studies, 7, Kawaller, I.G., Koch, P.D. and Koch, T.W., 1987, The temporal price relationship between S&P500 futures and S&P500 index, Journal of Finance, 42, Lee, S.B. and Ohk, K.Y., 1992 Stock index futures listing and structural change in time-varying volatility Journal of Futures Markets Lockwood, L.L. and Linn, S.C., 1990 An examination of stock market return volatility during overnight and intraday periods Journal of Finance 45, Stoll, H.R. and Whaley, R.E., 1990, The dynamics of stock index and stock index 13

14 futures returns, Journal of Financial and Quantitative Analysis, 25,

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untitled 300 (ADF) (VEM) 300 2006 9 5 A50 2006 9 8 CFFEX 10 30 300 300 2007 1 19 6 3 300 300 Kawaller Koch(1987) S&P 500 S&P 500 20~45 1 Stoll Whaley(1990) ARMA 2 3 S&P 500 MMI S&P 500 MMI 5 Abhyankar(1995) FTSE