Price Discovery And Volatility Spillovers Between CSI300Index Futures And Spot Market

The CSI300stock index futures has launched nearly two years, the liquidity of stock index futures market is very great, the trades of investors are actively, the CSI300stock index futures market runs well and achieve the expectation that a smooth start, safe operation and gradually extend the target. The CSI300stock index future is a important standard to judge China’s securities market becoming mature, and has the mission to improve China’s capital markets and guide the market price return to reasonable and reduce the risk of stock market, but the stock index futures is highly leveraged, low-cost and high volatility, ithere are huge risks in the stock index futures market.China’s securities market is not a mature stock market, it is worth to us to constantly research and analysis the influence of CSI300stock index futures to the stock market. Whether the CSI300stock index futures market has played an effective price discovery function and has volatility spillovers between the spot market and the CSI300stock index futures market, that is most concerned by a number of scholars and management.This paper using the trade date of CSI300stock index futures and spot market in near two years to research,focus on four areas:long-term equilibrium relationship between the stock index futures and spot prices, the transmission of information,the price discovery and volatility spillovers.Empirical research is mainly use the cointegration test, the VAR model, impulse response function, VEC model and GARCH models. Empirical research proof the existence of stable long-term equilibrium relationship between the CSI300stock index futures and spot market; the stock index futures guides the price of spot market in the short term, spot market guides the price of the stock index futures through the long-run equilibrium relationship; the speed of stock index futures reflects to market information is faster, and information transfer from the stock index futures market to spot market; there is volatility clustering phenomenon both in the stock index futures market and spot market, the stock index futures market has volatility spillover effects on spot market and pass the risks to the spot market, boosting the volatility of the spot market.