The Effect of the Introduction of Index Futures on the Quality of the Stock Markets

In this paper,a rational expectation equilibrium model is established to analyze the effect of the introduction of index futures on the quality of stock markets.Before and after the introduction of stock index futures,there are different trading environments,in which traders in stock markets will take different trading strategies.These trading strategies will cause different equilibrium prices and influence the quality of stock market finally.The conclusions show that the introduction of index futures increases the liquidity and the information efficiency of stock markets,but the impact on the volatility is uncertain.In general,the introduction of index futures will improve the quality of stock markets.The study is of theoretical and practical significance not only for regulatory authorities to constitute the institutions of cross-market supervision and introduce other financial derivatives,but also for investors to understand the stock market more deeply and to invent more effectively.