Effects of the Introduction of the CSI 300 Index Futures on the Underlying Stock Market Quality

The Shanghai and Shenzhen 300 index futures (CSI 300 index futures) are pushed out on April 16, 2010. Similar event study method is used to study the effect of the introduction of CSI 300 index futures on the underlying stock market quality. The results show that the introduction of index futures increases the liquidity and the information efficiency of the underlying stock market, but the effect on the volatility is uncertainty. In general, the introduction of index futures improves the underlying stock market quality. This study will have well significance to supervisors and investors.