Research On Interactive Relationship Between Hs300Stock Future And Spot Indices

Hs300stock index future has been officially listed on April16th,2010. And thisadapted to the development trend of Chinese capital market, has enriched the financialderivative products, and provided with very efficient venture-hedging tool forShanghai and Shenzhen stock markets. In view of pure theory, Hs300stock indexfuture is still a kind of future and derives from the spot stock index market, andtechnically speaking, it can exert the same functions as price discovery and hedging.Therefore, based on such reasons, there must be some kind of confining relationship,unilateral or bilateral, and some kind of relationship of equilibrium, whether long runor not, between the stock index future and the spot prices, as a reflection of suchreasons and functions. This relationgship based on primary conclusion may becointegration and correlation. Then, from an empirical perspective, Is the relationshipbetween the two so? To disclose this mysterious veil, many Economists from abroadand home, who are interested in such a project, is practicing far-flung and deeplyresearch.To address this issue, this article focuses on the study of the interactive functionsand equilibrium relation, long or short period, between Hs300stock future and spotindices. And this article analyzes the cointegration, Granger causuality, correlation, andvec mechanism, etc, between the natural logs of the two indices, by Econometricmethods, such as ADF unit root test, Johansen test, EG two-step mothod, VEC model,IRF analysis, variance decomposition, and Granger causality test, etc. And throughsuch hard work, this article make the relationship tetween the two obvious byquantitative methods. At last, such conclusion is made as the following:①Through the ADF method of unit root test, the result tells us that while theseries of Hs300Stock Future and Spot Indices are both non-stationary, the first-orderdifference series of them are stationary. This demonstrates that the two are first-orderstationary series, and they can be used to regress the VAR model; ②Through Johansen cointegration test, we found that there is stable cointegrationbetween Hs300Stock Future and Spot Indices in the long run, but in short periods,there may be no cointegration between the two, which implies some kind of changingstructure of cointegration exists, and there must be risks behind the indicesflunctuation;③Through regressing VEC model, we can find that while the series of the longperiod and the three short periods, which have the property of cointegration, all ownadverse error correction mechanisms in shot periods, however, the quantitative degreeis different, and the significance, too. And this kind of error correction is actually thelogarithm yield interactive change, this means the yield overestimation of last periodwill cause this yields fall, And this tells us that the movement form in short period hasthe property of structural variation, then the exsist of yields flunctuation and inventurerisk are demonstrated;④Through the methods of IRF and variance decomposition, we can find thatthere is interactive relationship indeed between the series of Hs300Stock Future andSpot log Indices. And the future index influences the other more powerfully and moredurably, As explained in relative theories, Hs300future index is influencing the spotindex;⑤After tested by Granger causality, we can find there is no significant Grangercausality relationship, whether in the whole period, or in the short periods. We can findstock index futures did not give full play to the spot index, this is because Hs300futureand spot indices markets are not perfect, thus the inventors and the administratorsshould pay enough attention to the risk.