Research On The Relationship Between CSI300Index Futures And Spot Market

China officially launched CSI300Index Futures in April16,2010. The emergence ofStock Index Futures has integrated the spot market with the futures market. It has improvedChina’s capital market, broadened the market investment channel, increased investmentpatterns and enhanced the market liquidity. Besides, it has introduced shorting mechanism,which provides a hedging instrument to lower the risk of stock market and preserve thestability of the market. The thesis uses the long-term daily data and high-frequency data ofstock index futures and spot market index to analyze the transmission relations and volatilityof the two markets, so that the internal operation mechanism between futures market and spotmarket can be discovered. This would provide forceful theoretical basis for investors andsupervisors.Firstly, this paper analyzes the theoretical relationship between stock index futures andspot market. Then, it analyzes current situation of CSI300Index Futures and the overall trendof CSI300Index before and after the push-out of CSI300Index Futures. This paper sets upthe empirical research from two aspects. One is the analysis of the intraday and daytimevolatility of the spot market with GARCH model and TARCH model and through dummyvariables to express the push-out of CSI300Index Futures.Then it constructs BEKK-GARCHmodel with dummy variables to examine the volatility spillover between the two markets.Theother is analysis of the price guidance relation between the two markets with VECM andmultiple regression model with dummy variable to examine the guidance relation at theopening and closing time.This paper’s conclusions are as follows. Firstly, the push-out of the CSI300IndexFutures doesn’t increase the volatility of CSI300spot market. Although the spot market’sasymmetric effect still exists, it was reduced and investors are more reasonable, and thepush-out of CSI300Index Futures doesn’t improve spot market’s information transmissionefficiency. Secondly, there is significant volatility spillover effect between two markets andthe volatility spillover of CSI300Index Futures to spot market is stronger. Thirdly, CSI300Index Futures and spot market’s prices has a long-term equilibrium relationship, and futuresprice goes ahead five minutes before spot market, spot has five minutes feedback, it also discovers that the guidance between the two markets is remarkable at opening and closingtime.