Research Article

Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition

Table 4

Breakpoint tests on the low-frequency term and corresponding significant events.

Breakpoint numberCorresponding timeCorresponding significant eventThe response of stock index futures prices

1December 13, 2010On December 10, 2010, the Central Economic Working Conference convenes and indicates that the moderately loose monetary policy has become robustThis event implies that the supply of liquidity to the capital market would be reduced, which was bad news for the stock index futures market. Hence, the stock futures prices slump

2September 28, 2011In October 2011, the credit ratings of a dozen European financial institutions are downgraded, and the European debt crisis further escalatesThe Chinese financial market was affected by this event, and in response, the stock index futures prices maintained the downward trend

3January 31, 2012From January 6 to 7, 2012, the National Conference on Financial Work convenes in Beijing to set the tone of the next series of major financial reform issuesThis event makes the stock market a positive prospect for investors and then pushes up the stock index futures prices

4May 17, 2012On May of 2012, the stock index futures prices are affected by a combination of events, including the US stock market and international commodities market crashing and the Chinese PMI index does not continue early rising trendThe series of significant events poses a serious negative impact on investors’ expectations. Therefore, the stock index futures prices stop rising and turn to collapse

5June 28, 2012On June 18, 2010, the Shanghai Stock Exchange and the Shenzhen Stock Exchange separately publish programs related to the delisting of listed companies and revise the corresponding Stock Market Rules accordingly, further perfecting the initial public offering (IPO) and delisting systemsThis event would improve investors’ confidence in the stock market. Hence, the downward trend of stock index futures price is slowed

6August 28, 2012On August 16, 2012, the New York branch of the Agricultural Bank of China opens, continuing to accelerate the pace of internationalization of the Chinese banking sectorThe event promotes the process of RMB internationalization, which is good news for the financial market, and stock index futures prices inch up

7October 18, 2012On October 17, 2012, the Chinese State Council meeting made an important decision that government would continue to implement the proactive fiscal policy and prudent monetary policyThe prudent monetary policy implying limited funds in the capital market was bad news for stock index futures market. Hence, the stock index futures prices tumble over

8January 31, 2013At the end of January 2013, broad money grew 15.9%, and narrow money grew 15.3%This event prompted a rise in stock index futures prices

9May 21, 2013In May of 2013, the Chinese macroeconomic situation does not perform well, the Federal Reserve gradually winds up the quantitative easing policy, and many banks in China lack sufficient capital at the timeThe cumulative effects of shocks of these events occurring in May have an enormous negative influence on the stock index futures market. Hence, the stock index futures prices collapse

10September 10, 2013On September 6, 2013, repackaged treasury note futures debut after a gap of 18 years, which is conducive to the establishing market-oriented pricing benchmarks and advances market-oriented reform of the interest rateThis event, rebuilding investors’ confidence in the capital market, then pushes up the stock index futures prices

11February 25, 2014On March 1, 2014, the Central Bank releases the upper limit on interest rates on small amounts of foreign currency deposits in the Shanghai Free-Trade Zone, taking another step toward market-oriented reform of the interest rateThe rise of deposit interest rate indicates that market as risk-free rate would increase, which is negative news for the stock index futures market. Hence, the stock index futures prices plunge