The Study Of Mutual Relationship Between Stock Index Futures And Stock Market

After 20 years of development, China's securities market has formed a certain scale and gradually opening up to international capital within market maturity. The stock market begins playing an increasingly important role of the national economy. However, as the market system is still imperfect, the market urgently needed an effective hedging and investment tools to ward off financial risks and improve their international competitiveness because of the increasing systemic risks Can not be released. The birth of China's Stock Index Futures as the representative of the financial derivative products, have been accelerate the pace of development and expansion of the market.Study is under this context. Within HS300 Stock Index Futures, studying the interaction between the Stock Index Futures and stock market, discovery the run features of Stock Index Futures in macro and micro features to spot market is valuable for market managers, intermediaries investors. This study aimed HS300 Stock Index Futures, study the feature among the spot index, the price index of HS300 Stock Index Futures through empirical analysis of operating ADF test, GARCH model, ARCH-LM test Granger Model on the macro level in volatility; Through empirical analysis,operating co integration test, GRANGER causality test models, analyses the price discovery relationship between Stock Index Futures prices and spot prices in the macro level;In micro level analysis, this paper studied the characteristics of liquidity between price and turnover of futures contracts.From the volatility of the study, it is found that the HS300 Stock Index Futures of HS300 stock index in China caused some short-term fluctuations changed. Stock index futures have a guiding role in the trend of the HS300 stock index. Under the daily transaction data, changes in stock index futures are significantly ahead of the spot index price changes. The study found that recent month contracts is more active than further month contracts, there are relatively large basis between futures and spot index. From the above analysis we can see that China's stock index futures business is like other countries with high risk characteristics. Stock index futures as the world's largest futures have been developed in the United States for 30 years. In China stock index futures began trading in April last year. High risk in terms of the stock index futures is a very important feature. The market should also be stable against market manipulation. To avoid the use of stock index futures by foreign investors in China's stock market manipulation of this tool. The risk of stock index futures market should strengthen controls to protect the interests of small investors.