Stock Index Futures And Spot Linkage Mechanism, Research And Risk Analysis

China Financial Futures Exchange(CFFEX) officially released CSI 300 stock index futures contracts, trading rules and their implementation details on February 20,2010, and it indicates that China has its own securities derivatives trading market after three years of deliberation and preparation.This dissertation will deal mainly with the Linkage Mechanism between stock index futures and spot market,and risk analysis of stock index futures.These researches would be necessary for investors before their transactions.If the investor positioned as a relatively low-risk hedger or arbitrager, in order to find the risk-free arbitrage and operation rules,he must pay attention to the study about the the linkage mechanism between stock-index futures and spot market.The empirical conclusion of my dissertation is that China's CSI 300 stock index futures prices lead spot prices.If the investor is relatively high-risk speculative traders,then he should have a good financial risk management quality, and the most practical trade proposal is to determine stop-loss speculative trading strategy under the GARCH-VaR models. The empirical conclusion of my dissertation is that setting up a VaR model based on the Normal distribution, or the distribution t and the GED with a fat tail characteristics can measure financial risk accurately.This dissertation will complete the relevant analyses and empirical studies based on CSI 300 stock index futures simulation transaction data.My dissertation will study the the linkage mechanism between CSI 300 stock-index futures and spot market using the vector autoregression (VAR), error correction model (ECM), Granger causality test, impulse response functions,as well as the financial risk management analysis about CSI 300 stock-index futures using value at risk(VaR) based on GARCH model.