Empirical Research On Volatility Spillover Effect Of Hushen 300 Stock Futures' Price In China

Volatility spillover effect of capital market research is a hot issue and the stock index futures is one of the objects which attract much attention. Owing to the nascency of the market of the stock index futures in China, many questions of the shake in maket are worthy to be researched.The central content of this paper is the studying of the volatility spillover effect during different markets and the futures market in China. We use the theory of Behavioral Finance to do the qualitative analysis of the volatility spillover effect and use the time series analysis to do the quantitative analysis. We do much research in the stock index futures market, including founding the AR model and GARCH model, to analyse the trends in long period and the phenomenon of the wave convergency. The innovation of this paper is the relation model of the Hushen 300 stock index futuers and the Shanghai composite index we found in the method of the vector autoregressive modelOur study shows that:the prices series of the stock index futures often has the phenomenon of the wave convergency, and the GARCH model can explain it syllabify. The stock futures'maket is more active and the volatility of the two makets will effect each other, especially the mobility of futures caused by the stock index.