Empirical Research On Information Transmission And Interaction Between Chinese Stock Index Futures And Spot Markets

Stock index futures is kind of financial derivatives based on stock price index.Stock index futures develops rapidly throughout the world since its debut in the United States in 1980 s.It is already the largest trade futures by volume.On April 16,2010,China officially launched the CSI 300 index futures.The launch of index futures can not only hedge risks and improve portfolio,but also help to further perfect our capital market structure,rich financial products and make the financial market develop healthly.However,Chinese stock index futures as a new financial derivatives experienced a tortuous development process in its five years long history.CSI 300 index futures was born when the stock market is in bear market phase.At first,the stock index futures was blamed that it contributed to the spot market volatility and drop.In the following years,the market developed significantly.The capability of hedging and speculation attracted more and more attention and players.The stock futures trading volume increases rapidly and became the world's largest market in early 2015.However,in June 2015,the sudden crash of the stock market brought heavy blow to the index futures.Many investors accused of index futures was the main culprit for the collapse.Regulators tightened index futures trading which led a sharp contraction and trading volume decreased by 99%.Nowadays,due to the lack of liquidity,index futures has basically lost its speculation and hedge function.In the past few years,the CSI 300 index futures experienced immature,growth and almost sudden death.Due to the importance of index futures for stock market,it is very important and practical to conduct thorough research to the index futures and provide effective policy support for restoring to the normal.This study focuses on Chinese index futures and cash market' influence to each other and the information transmission,and deeply explores the effect of mode and influence between them.This study reveals that the relationship between the index futures and spot market changes grandually during different phases.The Granger test and multivariate GARCH models are employed in the investigation of lead-lag relationship and volatility spillovers.Result shows that the stock index futures was able to play the role of price discovery effectively and guide the spot price in its mature stage.The volatility structures of index futures and stock index is analyzed which reveals the difference of the two markets' internal structure.This paper proposes a new analytical model of volatility which can captures the dynamic feature of jump,short-term volatility and long-term volatilitys at the same time.Empirical results find that the futures market contains more jumps and the spot market contains more short-term volatility.The results indicates that the prices limits policy is the main cause of this phenomenon.The relationship between the movement of basis and the price stabilization factors are analyzed,and discovers the performance of the futures market when spot market price are affected by stabilization factors.This paper reviews the dynamic relationship between futures and spot from the unique perspective of basis.And constructs the index which can measure basis integration and price stabilization factors.This paper constructs the correlation test model using the new index as proxy variables.The empirical results show that when the three variables of price stabilization factors are greater,the integration of the basis will be significantly reduced.The phenomenon reveals that the futures prices will adjust itsself when the spot price are affected by the factors.The conclusion is that the futures price fluctuation is more free and its price discovery ability is stronger.The study proves that the Chinese stock index futures market is relatively mature which has strong ability of price discovery.This indicates that before the crash the stock index futures market' environment and regulatory policy is relatively healthy.The research on volatility structure and basis also finds the inconsistencies of the regulation policy between the two markets may cause risks.The content of this research can provides certain reference to the regulatory policy improvement,at the same time can also provide new ideas for arbitrage traders.