The Research Of Stock Index Futures And Spot Market Association

Stock index futures is the inevitable product of capital market develops to a certain stage,it injected new vitality into the capital market, accelerate the efficiency of the market efficiency, and its unique margin system attracts many investors to participate. on April16,2010, China launched the first stock index futures contracts--HS300stock index futures contracts, it provides the subject of investment to our investors to avoid the systematic risk of the stock market.However, China’s futures market has been running in the people’s voices of doubt. The key of the problem depends on the HS300stock index futures initially caused the Shanghai and Shenzhen300stock market crash, and does not eliminate the phenomenon of the spot market volatility in the period after its lunch, so many investors believe that the introduction of stock index futures become the driving force behind the spot market fell, and some even believe that some institutional investors through the manipulation of large-cap stocks to suppress the stock index and stock index futures market opened short positions to reap huge profits. Many questions also indirectly shows that China stock index futures market speculators more, lack of arbitrage and hedging behavior, so that China’s stock index futures pricing mechanism efficiency is low. As a result, the reading of the relevant literature on the basis of China’s stock index futures market and spot market relevance of research. In addition, because our country stock index futures is a relatively short period of time, in order to enhance the article, using15minutes of high-frequency data of stock index futures market and spot market study.Firstly, this paper uses ARMA-GARCH model to study whether the introduction of stock index futures will exacerbate the volatility of the spot market. In order to study the introduction of stock index futures on stock market impact is the short-term phenomenon or a long-term phenomenon, the data is divided into short-term and long-term data of two groups to study the empirical results show that the introduction of stock index futures in the short term will aggravate the volatility of spot market, but the long term will stabilize the volatility of the spot market. This paper attempts to establish VAR model analysis of stock index futures market and spot market between mutual causal relationship, but the causal relationship between stock index futures and stock index spot return series does not meet each other, so the author use stock index futures and stock index series of follow-up studies, because both are cointegration relationship of non-stationary sequence, so are suitable for the establishment of VEC model. The author through the two-variable VEC model and EGARCH model of stock index futures on the existence of the volatility spillover effect is studied. VEC model test results show that stock index futures and spot markets exist to guide a relation each other, but the stock index futures market volatility of the spot market impact, while the spot market volatility of stock index futures market of small effect, indicate that index futures market between asymmetric volatility spillover effect. The empirical results also found that the stock index futures price changes than the spot price changes ahead for at least15minutes, that the introduction of stock index futures to accelerate the information transmission efficiency. EGARCH model test results showed that the stock index futures market and spot market volatility of the respective reactions to information dissymmetry, stock index futures market on the good and the bad news response differs from the stock market, stock index futures are more sensitive to bad news, while the spot market to the advantage good news more sensitive. Finally based on the stock index futures market and stock market correlation leads to the stock index futures pricing mechanism of empirical research, aims to analyse our country stock index futures pricing mechanism is reasonable. The article using the cost of carry model and Hemler-Longstaff model to calculate the stock index futures contracts, and compared with the real price, found the real price of stock index futures contracts more theoretical price deviation is larger, description of the HS300index futures pricing mechanism is inefficiency. In addition, this article also quoted the arbitrage-free interval model for each month the arbitrage opportunities exist for statistics, statistical results show that China’s stock index futures arbitrage opportunities exist.