The Csi 300 Stock Index Futures And Stock Index Relationship Between Empirical Research

When Chinese stock market adopted the equity division reform in2005, it experienced four years of ups and downs, and entered a downtrend slowly, which continues today. In order to stabilize the market and increase the discovery function of market price, the government decided to pull out the CSI300stock index futures. However,with the launch of stock index futures, the market does not seem to get a better stability as planned, but still shows a downward trend, not to mention the short-term volatility of stock index is more intense.Whether it has a certain relationship with stock index futures introduced? And what is the operational mechanism between them? Will The CSI300index futures push down the stock market? With these problems, this paper intend to combine with China’s CSI300stock index futures and some reliable stock index trading data,and study the relationship between the two.Theoretical and empirical research at home and abroad on the relationship between stock index futures and stock index is mostly based on the foreign stock index futures market or the analog stock index futures,and the study of the relationship between the CSI300stock index futures and spot markets is dispersed. This article draws on the previous theoretical and empirical research,in close connection with the status quo of China’s capital market run, and commences a systematic study of the relationship between the Shanghai and Shenzhen300stock index futures and stock index. First, this paper conducts a brief overview of several issues of China’s CSI300stock index futures, stock index futures and stock markets. Second, this paper carries on reference and definition of the stock index futures and stock index theories. Then it analyzes the formation mechanism of the correlation between the stock index futures and stock index, in combination with the actual situation of China’s securities market theory,and assumes that the relationship between stock index futures and stock index. Followed by empirical analysis of CSI300stock index futures and stock index real transaction data based on theoretical assumptions:First, the cointegration test determines whether it has the long-run equilibrium relationship between them, if so,then through error correction model to correct the deviation of the sequence of short-term fluctuations. Second, using VAR model and impulse response analysis tools such as stock index futures and stock index whether there is a leading effect? If there is, find out the leading number of installments. Third, on the basis of above research, it combines theoretical assumptions, and decides whether there is a waterfall effect in the decline of CSI300stock index futures and stock market. Then draw the appropriate conclusions and cause analysis. Finally, on the basis of the analysis of the conclusions and the reasons,the paper puts forward policy recommendations on China’s securities market that have theoretical and practical significance.This article combines normative and empirical analysis with the research methods, and uses the CSI300stock index futures and the underlying index of the real transaction data and the target, then it comes to the conclusion following:First, in different stages, there exists a long-term equilibrium relationship between the CSI300stock index futures and the underlying index or the marked index. Second, in the market of decline stage, the relationship between CSI300stock index futures and stock index shows the sharpest performance. Third, the responses of mark and the underlying index to Shanghai and Shenzhen300index futures shock are both the direction of change, the CSI300stock index futures is leading the underlying index and marked index, schedule1to2minutes now, especially in lead most strongly when1minute. Fourth, the impact of the CSI300stock index futures on the underlying index shows more complex reaction, positive and negative change, and the current maximum impact response. There exists an obvious cascade effect between the CSI300index futures and index between small and medium-sized board. There are two discoveries which are most important:one is that there is a obvious leading effect between the CSI300stock index futures and stock index, and lead time in1to2minutes, in line with the previous theoretical assumptions. Second, in decline stage, there is an obvious cascade effect between the CSI300stock index futures and the underlying index (index) of small and medium-sized board, but there exists no obvious cascade effect with the underlying index (CSI300stock index). That comes to a conclusion that the CSI300stock index futures helps small and medium-sized board index to fall in market decline stage.From the perspective of regulators and investors and on the basis of summarizing the research conclusion and analysis of the causes, this article puts forward some policy suggestions on the following five aspects:(1) Perfect the investor team, let more types of investors to participate.(2) Establish two-way market structure, and improve the information dissemination mechanism.(3) Make full use of the leading effect for speculative trading.(4)Attach great importance to the small and medium-sized plate index of market position.(5) Establish asymmetric circuit breakers.