An Empirical Study Of Mutual Relationship Between Stock Index Futures And Stock Market

After 10 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, will be accelerate the pace of development and expansion of the market. At present, HS300 Stock Index Futures's preparatory work has been completed, Stock Index Futures market has been ready to go ahead.Study is under this context. Within the upcoming expection of 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 and FTSE Xinhua A50 Stock Index Futures through empirical analysis of operating ADF test, GARCH model, ARCH-LM test on the macro level in volatility;Through empirical analysis, operating cointegration test, GRANGER causality test models, analyse the price discovery relationship (leading lag relations) between Stock Index Futures prices and spot prices in the macro-level; In micro-level analysis, this paper studyed the characteristics of liquidity between price and turnover of futures contracts.The results show that the feature of index volatility from HS300 Stock Index Futures is extremely consistent with China's A-share market index, and difference to the FTSE Xinhua A50, from this we concluded that the HS300 stock index have the same features which China's A-share market always been: chasing good news regardless of the risk; Lead-lag study found that changes in futures price in the long period of time leading to changes in spot price index significantly and the spot price index should lead to changes in the price of futures in the short-term; In contracts relations, study found that recent month contracts is active than further month contracts on the transactions and positions, there are relatively large basis between futures to sopt index, exist risk-free arbitrage space.