Stock Index Futures Market And Spot Market Interaction Research In China

China’s first stock index futures-HS300index futures was born in April16,2010,.It is a milestone for the development of China’s derivatives market. Today, the HS300index futures have more than one year of operation, the introduction of stock index futures had a greater influence on China’s securities market and the whole financial market. With this background, this thesis have studied interaction between the stock index futures market and spot market,and gives many relevant policy recommendations based on the conclusions of the study.This article describes the market microstructure theory, and briefly addressed the microscopic structure of China’s stock index futures. Based on HS300index and index futures data, this article has analyzed the interaction between the spot market and futures market with empirical analysis. What’s more, to make the results of the analysis have Comparability, this article has interval analysis of relevant data. Through the use of the GARCH model, impulse response function, the GS model, Hasbrouck variance decomposition, the general factorization method, this paper has studied the stock index futures market and spot market volatility and price discovery with empirical method. The empirical results indicate that the HS300index futures have launched the HS300index return series leptokurtic gathered leverage characteristics decrease. To the price discovery function, integrating the impulse response analysis, the G-S model analysis, Hasbrouck variance decomposition and PT models, this paper considers that the HS300index futures market play a leading role in price discovery, the futures market to guide the spot market in price discovery. Finally, evidence-based conclusions put forward the following policy recommendations:First, increasing investor education efforts; Second, efforts to attract hedge to improve the structure of investors; Third, the gradual introduction of market maker system, improve the market microstructure; fourth, perfect the marketscross-city supervision between futures and spot.