| Stock Index Futures is financial futures taking stock price index as underlying asset subject. It is one of the most important and most successful financial derivative instruments in twenty century.The quantitative relation of Hushen300index futures market and stock spot market are studied in the thesis. The most basic and important theoretical issues in index futures research and the influence of the introduction of stock index futures market and stock spot market on the stock spot market are studied. Some of the issues of the thesis are the lead-lag relationship and spillover volatility effects of futures market and spot market, futures hedging, and so on.The thesis is helpful for understanding the novel things, the index futures in Chinese capital market and increasing research findings in the global index market. Accordingly, it is able to provide empirical evidence for supervision department and secure the financial market. It is helpful for the investors to understand the relationship of index futures contract and stock spot market, make sound investment and risk management strategies, gain reasonable profit and avoid systematic risk in capital market. Therefore, this thesis has profound theoretical and practical significance. Moreover, the influence of the introduction of Hushen300index futures is deeply analyzed from multi-angle. The analysis include the status and importance of Hushen300index futures in Chinese capital market, the influence of it on pricing, market liquidity and volatility in A share market, the price-volume relationship between A share market and Hushen300index futures market, etc..The thesis is parted into nine sections.The first section is introduction. This section introduces the background, the significance, the research methods and the main content of this thesis. Firstly, global futures market is introduced and the triple balance situation of Europe, North America and Asia pacific presented in global index futures market is described. Next, by comparative analyzing the data, effects of index futures risk management in financial crisis is concluded. Following simple introduction of development of Chinese capital market and index futures, relative references about relationship between domestic and overseas index futures and spot market are investigated. In the end of this section, the significance, the methods and main contents of each section are introduced.In the second section, every minute’s high frequency data are used to study the price discovery ability between Chinese index futures market and index spot market in bull and bear markets. It is shown that there are both co-integration relationship and bi-directional price leading relationship in bull markets, whereas index futures are the price leading in bear markets although there is co-integration relationship.In the third section, based on the every five minute’s data of Hushen300index futures and the stock spot markets the dynamic linkage between Chinese index futures market and stock spot market using DCC-MGARCH model. Moreover, the transmission of volatility between the two markets is investigated by building GARCH (1,1) model. Empirical results show that the dynamic related coefficient of price fluctuation between Hushen300index futures and spot market is different from zero significantly. The results also show that there one way fluctuation transmission from Hushen300index futures market to stock spot market, and there are not fluctuation spillover effects in reverse. Meanwhile, index futures trading tends to decrease the price fluctuation of stock spot market.In the fouth section, internal relationship of fluctuation and volatility between index futures trading and component and non-component stock index are empirically studied. It is shown that firstly, the index futures market in strong arbitrage will increase fluctuation significantly and decrease volatility of stock spot market. Secondly, stable index futures market is able to decrease the fluctuation and increase the volatility of component stock market whereas increase the volatility of non-component stock market although it has few influences on the fluctuation of non-component market. The empirical results prove the importance of stable index futures market in decreasing arbitrage and the index futures market plays an important role in perfecting and developing Chinese capital market.In the fifth section the pricing ownership in A share market is investigated in different time scales by using vector error correction model, VAR model and MGARCH-BEKK model. It is shown that in high frequency data price fluctuation in H index futures market leads the fluctuation in A share market and Hushen300index futures market and H share market is the price information center of the three markets. However, the spillover from H index futures market to A share market and Hushen300index futures market is weak. In high frequency data there is no lead but spillover from H index futures market to A share market and Hushen300index futures market.In the sixth section the portfolio in stock market is built based on20bulk-holding stocks. The hedging efficiencies in Hushen300index futures market and overseas H index futures market are investigated using OLS, B-VAR, Diag-BEKK, Scalar-BEKK and CCC models. It is shown that the hedging efficiency is the best by using Diag-BEKK model but the fluctuation is remarkable and the exchange cost is high. Thus the static OLS model with a little poor hedging efficiency is the better choice. Moreover, the hedging efficiency of H index futures is worse than Hushen300index futures.In the seventh section the relationship of return volatility and trading volume in Chinese stock market and index futures market an. also inter market is investigated. It is shown that there is a clear changing route from the trading volume of index futures market to the trading volume of stock market.The eighth section is the conclusion and the expectation section.In this thesis the quantitative relationship between index futures market and stock spot market in China is studied empirically. Innovations of this thesis are as follows.1. The real trading data of Hushen300index futures market are adopted to study the quantitative relationship between Chinese index futures market and stock spot market. Some investigations have been done by using simulation trading data, the conclusion of which are very different from the conclusion from real trading data.It is shown that leading relationship of index futures market to stock spot market is different in bull and bear markets. There are both co-integration relationship and bi-directional price leading relationship in bull markets, whereas index futures are the price leading in bear markets although there is co-integration relationship. Therefore, the leading function of index futures market is able to weaken the crisis in stock spot market.There is one way fluctuation transmission effect from Hushen300index futures market to stock spot market, whereas spillover effect is not exist in the reverse direction. In addition, index futures trading tends to weaken the price fluctuation of stock spot market.2. A new view about how the introduction of index futures trading influence the fluctuation and volatility in stock spot market is set forth. In this thesis the trading period is divided into the period of speculative market and stable market. Whether influence the index futures market take on the stock spot market is positive or negative depends on the operation condition of the index futures market. In this thesis the influence of index futures trading on fluctuation and volatility of non-component stock index futures is investigated empirically. This thesis denies the judgment that index futures can enhance the polarization of the stock market and the fund flows to component stock, on the contrary the non-component trading is shrinking and the volatility is going to disappear.3. The influence of Hushen300index futures on the pricing power of A share market is investigated. It is found that the H index futures market has the power in high frequency data and Hushen300index futures market has the power in low frequency data. This is help to make trading strategy for the market participants.Certainly, there are some questions in this article for the source restrictions of data and the research level. I will have a concern with the questions in the future. |
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