Empirical Research On Coupling Effects Between Hushen300Stock Index Future And Spot Market

Since the first stock index future appeared in USA in the1980s, many developing and developed countries have launched their stock index futures for national or even non-domestic spot market stock index futures. Stock index futures as a circumvention tools of systemic risk in the market, now days, has become an indispensable part of financial market. While in China, the first stock index future (Hushen300) was launched on April16,2010officially, which indicates that the development of Chinese securities market has entered a new era. And the trading of Hushen300which can improve resource allocation will become important part of capital market. In this paper, a discussion on Coupling Effects between Hushen300Stock Index Future and Spot Market will be carried out. We will discuss Hushen300stock index futures’effects on stock market volatility and Hushen300stock index futures price discovery function.Firstly, the paper starts with the definition, development history and economic functions of stock index future. It introduces our country’s first stock index futures--Hushen300index futures. Then with the HS300index futures data and Hushen index data as the object of the research, empirical analysis of research results, evidence is divided into two parts:the first part We build up a GARCH model, combined with the structural changes of the ARMA model, a comparative study on the spot market before and after the introduction of stock index futures sample data. Through these models, we analyze the impact of the volatility of the spot market after the launch of Hushen300stock index futures. The second part, by using the VAR model, JJ co-integration test and vector error correction model, Granger causality test, impulse response analysis and analysis of variance, we analyze the Price Relationship between Hushen300stock index futures and the spots, analysis futures and spot prices leading-lag the relationship. The empirical results show that the Hushen300Index volatility of the spot market after launch of stock index futures by the impact of past information introduced previously has been reduced. The futures weakened the volatility of the market. At the same time, we also found that the one-way price guide relations between Hushen300futures and the spot market, stock index futures and the spot prices exists a lead-lag relationship. The stock index futures price changes than the spot price changes ahead for about5minutes.