The Efficiency Research on Hangseng Index Futures Market

This paper examines the efficiency of Hangseng index futures markets from pricing efficiency and informational efficiency aspects in a bear market. The main results are as the follows: (1) The informational efficiency test shows that Hangseng index and futures markets are weak form efficient markets; (2) The pricing efficiency test demonstrates that Hangseng index futures is efficient; (3)The lead-lag relationships between Hangseng index and its futures market shows that returns in Hangseng index futures lead returns in Hangseng index, Hangseng index futures markets play a more important price discovery role. It further suggest that China should research the more mature Hangseng index futures markets and follow its strength, then built HS300 index futures markets into a efficient markets in any case.