The Volatility Efficiency And Mutual Relationship Between The Stock Index Futures And Spot Market

Stock index futures as a financial derivative instrument that manage systemic risk of stock market, develop rapidly since the first stock index futures contract appeared in 1980's. Many developed countries and developing countries have introduced their own stock index futures, and stock index futures have become an indispensable and important component in current financial markets. With the increasing development of China stock market and the system improving, stock index futures will become an important part of China's securities market, which can further improve the efficiency of securities markets and resource allocation. HS300 stocks index futures that has been introduced on April of 2010 make the development of China's securities market has entered a new stage. Based on this background, this paper examines the Hong Kong stock market, which has close contact with the Mainland of China Stock Market, studies the spot market volatility after stock index futures trading, and the relationship of mutual causality between these two markets. Hoping bring useful advice for the formal introduction of stock index futures.In this paper, we used the Hang Seng Index and Hang Seng index futures data as samples. With the introduction of stock index futures trading time for split points in comparative studies, constructing the introduction of dummy variables GARCH (1,1) model, combined with ARMA model analysis of structural changes of the impact of volatility on the spot market. In addition, we use cointegration tests and Granger causality tests analysis the long-run equilibrium between the two markets, and we also make a further study on short-term interaction between the variance by building Vector Autoregression (VAR) model, vector error correction (VEC) model, impulse response analysis and variance decomposition. By the empirical test results, we found that stock index futures can speed up the efficiency of information transmission, which make the information that lagged behind reflect quickly, and thus further affect the spot market. From the long term, the introduction of stock index futures will play a positive role in promoting china stock market.