The Research Of Threshold Effects Between The Dynamic Adjustment Of HS300Index Futures And HS300Index

The research of the dynamic adjustment between index and index futures is aunfailing topic in both theoretical and practical research，here the threshold effects ofthis adjustment is a partly new subject in the foreign capital market and a totally newsubject in our domestic capital market，this can be largely attributed to the latelydevelopment of our capital market．What is the threshold effects？according to the cost of carry model，we cancalculate the theoretical price of the index futures，in a perfect efficient market，thisprice should always equal to the market price，but in the practical market this is hardto satisfy the model，so the theoretical price of index futures and the practical price ofindex futures will always exist some deviation．under such situation，both the indexand index futures will go to adjust in order to conform to the cost of carry model，thisis called the phenomenon of mean reversion(one style of dynamic adjustment)，if wehave a more specific research of this topic，we will find：when the price of index andindex futures adjust to the situation conform to the cost of carry model，the speed ofadjustment will be different at different regime，this is called the threshold effects，this phenomenon can be attributed to the transaction cost et al．In this paper，we are going to use the TVECM and HS300per-minute transactiondata to study this phenomenon in our HS300index futures markets，according to ourtheoretical inference and practical research，we think this phenomenon will appear inour HS300index futures market．Specifically，we find that there will exist threedifferent regime：In the regime1and regime3，both the index and index futures willhave a large speed of mean reversion，In the regime2(the no arbitrage regime)，thespeed of mean reversion will be more moderate．furthermore，we also find that theindex futures market lead the index market in our practical test，this is the same withthe former research in both domestic and foreign markets．...