A Empirical Research On The Relationship Between Stock Index Futures Market And The Stock Market Price Discovery Function And Volatility Spillover

Stock index futures refers to the price index for the subject of the standard contract. Since1982the world’s first a stock index futures traded in the United States Kansas Futures Exchange, after nearly a century, stock index futures is the latest development in the financial markets, but it is the most successful financial derivative products. It is also the most rapid development, liquidity and volume of the best among the financial derivative product.On April16,2010,our country has lanched the subject matter of the CSI300index for csi300index futures contract,from now on our country into stock index futures era. And since csi300index futures listed, the Shanghai and Shenzhen stock market volatility is significantly enhanced, especially when a stock index futures fell before launch a faster, more fierce. This phenomenon in many countries all has the appearance In the introduction of stock index futures period, and then stock index futures will have any effect on stock market trends and volatility,and whether the stock market will have a similar effect on stock index futures market or not are market investors and regulatory agencies concern.This article from the stock index futures market and stock market price discovery function, and the volatility spillover effects of the two aspects to study the relationship between two market price guide in two markets and information transmission between them. The research in this paper introduces four countries for comparative analysis,and the four countries respectively for the mature markets of the United States, Japan, and emerging market of India and China. It not only can compare the similarities and differences between the mature markets and emerging market of their relationship between the stock index futures market and the stock market,but more important is to work out the gap between Chinese and the other nations, so as to identify the direction of development of China’s stock index futures market, to accelerate development of China’s stock index futures markets from emerging markets to mature markets.This paper based on the four countries stock index futures and its corresponding spot index of5minutes of high frequency data sample, and application of vector error correction model to study the short-term and long-term price discovery function of the two markets; Using impulse response function to analyze the relationship between the price guide of the internal structures, and variance decomposition method to draw in price discovery process of contribution degree between two market; With double variable T-GARCH model to study the volatility spillovers and asymmetry effect between the two markets.Innovative features:(1) the previous article pays much attention to the stock index futures of short-term price discovery function, the conclusion of many papers is the short term stock index futures leading stock prices,but did not take long for long-term price discovery function.This paper uses VEC model to consider not only the two respective market short-term discovery function, but also examines the long period of the process of price discovery who dominated;(2) In this paper research stock index futures and stock market volatility spillover effect by using the bivariate T-GARCH model, which takes into account market ARCH effect (market volatility spillover effect), the GARCH effect (market volatility by the impact of the previous period the expected variance), and asymmetric effects (reflect market asymmetry)and so on, so that the point of view will be more comprehensive.(3) And be different from the previous study of China’s domestic market,which only studyr domestic market, this paper introduces three other countries market for research,and have joined the emerging market and the mature markets of the contrast, which makes the stock index futures market and cash market research more basis, also can better research in China securities market characteristic and the direction of development.The main conclusion:(1)vector error correction model the spot market price discovery predominant in the long term, namely in the long term spot price guide stock index futures prices. Whilethe price of two market has two-way granger causality in the short term,and countries that lead lag relationship of short-term prices has a little different, our country short-term stock index futures price discovery function has more advantages.(2) pulse and variance decomposition method further proof that the spot market has a dominant position in price discovery.(3) For four countries stock index futures market,using dual variable T-GARCH model convergence in the spot market for long-term, namely the spot market dominant. And two markets exist obvious two-way fluctuation spillover effect, that means information transmission in the two markets is mutual. For the mature markets,the stock index futures market volatility spillover effect significantly, and for emerging market the spot market volatility spillover effect more notable.(4) the United States and China markets have obvious leverage effect, the Indian stock index futures market has leverage effect, Japan two markets leverage effect are not significant. And the result of the leverage effect is consistent, all is the market for "bad news" is more sensitive, namely more bad news can lead to market volatility worse.