The Study On The Intraday Interaction Relationship Between The Hushen 300 Index And The Stock Index Futures

Stock index future is often used to setoff the system risk of the stock market. What's more,price discovery,reducing volatility,and increasing trading are also considered as the stock index future's function.Now,the stock index future has been the biggest variety in the financial futures,as well as in the futures.China financial futures exchange established in Sept.of 2006,and at the same year,the simulate exchange of Hushen 300 index futures is available at October.The simulate exchange, investor education,member development of Hushen 300 index futures has been run nearly 2 years,so the real exchange of Hushen 300 index futures is maturity,and accumulated a lot of data of the trade.This paper studies the casual relationship between the Hushen 300 index and Hushen 300 index futures at the backdrop.We chose Hushen 300 index and Hushen 300 index future as our study object. This paper constructs an AR(1)-EGARCH(1,1) model to estimate the volatility, using one minute high frequency data.We test the casual relationship of index and index futures by Granger Causality Test.The paper use volatility to study the casual relationship between the index and index futures,this is different from lots of other researchers because they use price or return serials to study the relationship.Before the Granger causality test,we use ADF test and co integrate theory to test the serial's stationary and co integrate.For that the existence of asymmetry of volatility in the capital market is common,we use EGARCH model to prize asymmetry of volatility.Empirical result show that:the volatility serials of futures market and spot market are stationary;both futures market and spot market have significant dissymmetrical effect of price violate,and the good news induce larger volatility than bad news;there don't exist casual relationship between future market and spot market. Because that the conclusion of dissymmetrical effect and casual relationship is different from other researchers,we give some explanations from varies point of view. At last,we give some suggestions to the traders and rulers based on our result.