Empirical Research On The Relationship Between Stock Index Futures Market And Stock Market

The relationship between stock index futures market and stock market has been important problem, and many valuable results have been made. However, HS-300stock index futures market landed in china not long time, empirical research is relatively rare. This paper analyzes development and evolution of stock index futures market at home and abroad, and the position of index futures market. Then, study the relationship of both markets based on actual data.This paper consists of7chapters. The first chapter and the second chapter analyze the research content, method, present situation and relevant theoretical basis. The third chapter analyzes the effect about the stock liquidity. The fourth chapter analyzes the effect about the stock market volatility. The fifth chapter analyzes the price lead relationship. The sixth chapter analyzes the profitability of the stock index market. The seventh chapter is research summary and prospect.The main research conclusion is as follows,Firstly, HS-300stock index futures market has weakened the liquidity of the stock market, but the rate of decline is slow. The effect about the stock market liquidity caused by HS-300stock index futures market is becoming stable.Secondly, HS-300Stock index futures do not increase the stock market volatility generally. In the short term, the stock market volatility is even slowing down; in the long term, the effect about the stock market volatility caused by HS-300stock index futures market is not notable. The leverage effect existed in the stock market has not been proved.Thirdly, although the price trend between the HS-300stock index futures and stock market, the long term equilibrium relation is not notable, and the mutual guidance relation is not apparent. The function of the price discovery about HS-300stock index futures market is not strong.Finally, uses the exploration map of Complex scientific management to analyze influence factors of the stock index futures price. HS-300stock index trend is the important influence factor of the stock index futures price. Stock index futures price and stock price will converge with the future contract maturity.The innovation of the paper is as follows,Firstly, uses the HS-300stock index futures actual data to test relationship between stock index futures market and stock market. Before, the object of empirical research is capital market abroad, or is HS-300stock index future simulation trading data. However, capital market of China is developing market, and the foreign capital market is more mature. Additionally, HS-300stock index future trading simulation data is not able to reflect the relationship. The paper uses variety of methods to verify the relationship between stock index futures market and Stock market, and the data is real.Secondly, propose the empirical methods based on event analysis. Regards the event as cut-off point, this paper compares the different test results and analyzes the effect about the market liquidity caused by the stock index market.The research before used the GARCH model to analyze the volatility of the stock market caused by the stock index market, and regarded the event as dummy variable. This paper regards the event as cut-off point, and analyzes the effect about the market volatility by the stock index market.Thirdly, uses the exploration map of Complex scientific management to analyze influence factors of the stock index futures price, and then build the index system.