The Research Of Lingkage Between CSI300 Index And Dow Jones Index

More and more Derivative financial instruments will appear in financial market with the open completely of financial industry and the stepwise perfectly development of the financial market. In shanghai, Chinese Financial Futures Exchange (CFFE) have established on September 8, 2006. The index futures contracts of CSI 300 will soon launched. In these circumstances, how to expand the business with the futures company is an important question. The industry insider and the financial experts all will be pay attention to this question.After reading a large number of domestic and foreign stock index futures-related literatures, we can see that the current domestic and foreign researchers mainly study on the stock index futures and spot for co-integration, or on the hedging and risk control of index futures. So far we can not find a paper about domestic stock index and foreign joint-stock index. For the Economic globalization, domestic and foreign correlation is very obvious, so its application and research has important practical significance and long-term significance.This paper research on the linkage between Dow Jones which is most influential to the world and our country CSI 300 industry segmentation indexes .we search on the correlation of CSI300 Index and Dow Jones Index using Cointegration theory and Granger Causality testing which based on VAR. We establish ECM model-building through combining the correlation of Index and the VAR model. The results showed that Dow Jones index and CSI 300 index have long-term marked equilibrium relationship. And we analyze this relation by madding Error Correction model-building. The model has good fitness and forecasting premise. We hope that this research have certain reference value on CSI 300 index futures which will soon launched.The main innovation points of this paper are as follows:1. We research in the linkage of overseas Dow Jones index's industry segmentation indexes and the domestic CSI 300 industry segmentation indexes. It has important theory significance for the stock index stock which will launch soon.2. The paper establishes the error correction model on the Dow Jones industry segmentation indexes and CSI 300 industry segmentation indexes. The model obviously adjust CSI 300 index.