The Csi 300 Index And Futures Of High Frequency Dynamic Empirical Study

Stock index futures in financial markets as an important financial derivative, occupies an indispensable position. For more than a year since April16,2010, China’s stock index futures are stably operated actively traded, and their trading volumes gradually enlarge. Their close dynamic comovement to the spot market shows that the impact on the stock market has emerged. However, China’s stock index futures market, whether in transaction size, transaction types, transaction mechanisms, or the personnel involved in the transaction structure and professionalism in developed markets have a larger gap, it is only a start-up market development of the market, which determines the dynamic relationship between China’s stock index futures and stock markets is different from developed markets, has its own characteristics.This paper first reviewed the course of China’s stock index futures and listing operations since the status quo, and then explored in the analysis of the basic functions of the stock index futures based on the interaction between stock index futures and spot. February9,2011to2011April8th one minute frequency data and then use error correction VAR model and the bivariate GARCH model to China’s CSI300stock index futures and spot price discovery capabilities and volatility spillover effects were studied, and reached the following conclusions.(1) The existence of long-run equilibrium cointegration relationship, the CSI300stock index futures and index price movements are basically the same with high fitting degree.(2) CSI300stock index futures and spot price interactively leading each other. CSI300stock index futures, although shorter time to market, has also demonstrated a strong ability to price discovery, and with the ability of institutional funds continue to join the gradual maturity of the futures market and stock index futures price discovery is gradually enhanced.(3) There exists a two-way volatility spillover between the Shanghai and Shenzhen300stock index futures and spot. Since the stock index futures market in China is still a start-up market, developing market, the CSI300stock index spot on the volatility of stock index futures, spillover effect is greater than the stock index futures on the CSI300stock index spot volatility spillover effects.Conclusions of this study, on the one hand to further improve China’s stock index futures market trading mechanism, give full play to the role of stock index futures policy formulation to provide a reference; the other hand, reveal China’s stock index futures market price discovery mechanism and the microstructure of important theoretical value; In addition, investors hedging, risk management, arbitrage trading strategies to develop and implement practical guidance significance.