Study On The Relationship Between The Stock Index Futures And Spot Market

The global economy has been in severe crisis since the United States sub-loan crisis broke out in2008. Stock markets all over the world fluctuated wildly. As a dominant risk management instrument, the importance of the stock index futures has been highlighted. China’s stock index future was launched on April16th2011. Against the background of global crisis, the in depth study in the stock index futures has even greater theoretical significance and the practical importance.The essay has five chapters. The first chapter mainly elaborates the research background and significance of the topic. The second chapter presents international and domestic relevant theories, which are carried out on time sequence. The classic theories are firstly quoted, the theories on futures are discussed then, and the lately analysis of index futures are weighed in at the end of this chapter. The third chapter, theory analysis, focuses on the influences on spot market volatility of futures market and the linkage between the two markets. Still this chapter has studied the effect of the futures market in a new perspective, namely from the view of behavioral finance. The fourth chapter, using the CSI300Index Futures as a case, does some empirical tests to verify the theoretical analysis given in the third chapter. The paper employed the vector error correction model, the impulse response function, the variance decomposition method, and the binary GARCH model to analysis the real market operation. The fifth chapter, suggestions, in this part some policy recommendations and suggestions are brought up on the bases of theoretical analysis and empirical tests.Through the research, the article gets some conclusions:1, CSI300Index Futures market and spot market have long term equilibrium relationship and short term bidirectional granger causality.2, in China’s securities markets, the futures play a dominant role in the price discovery process. There is obvious bi-directional volatility spillover between the two markets. The information of prices fluctuation is transmitted effectively. Last but not least, the essay observes that the futures market and the spot market have a good interaction in the past year, and the job of the futures market in the financial market is well done. So the list of the index future is successful.