A Empirical Research On The Lead-lag Relationship Between The CSI300Futures Market And Spot Market

With the development of the capital market, stock index futures appeared to become ahistorical necessity. Since the1980s, the United States launched the first stock indexfutures contracts, stock index futures have a rapid development in the developed worldfinancial markets, emerging markets have also launched stock index futures. Today, as themanagement of systemic risk derivatives play an increasingly large role in the stock market.Lag due to the development of China’s capital market, until the2010, the Shanghai andShenzhen300stock index futures had been launched, and that China’s capital market hasentered a higher stage of development. Has been running for nearly three years since theCSI300stock index futures, Judging from the trend of the stock index, introduction ofindex futures caused stock index fell sharply; even after running for a while, did noteliminate the stock index spike phenomenon. Some researchers believe it is the launch ofstock index futures speculators profiteering through bilateral market, exacerbated marketvolatility. This paper focuses on the linkage between CSI300stock index futures and stockindex, to explore the role of the stock index futures in the spot index price discoveryprocess.The paper use the daily yield data and five-minute high-frequency data to analysis, thefirst use of cointegration test to determine the existence of a long-term stable equilibriumrelationship between the two variables and found that there is a two-way Granger causebetween the two vectors. Stock index futures market at a major position in the spot marketguide. Stock index futures’s lead ability is greater than the stock’s lead ability in theupstream phase and there is a two-way lead relationship between stock index futures andspot in the downstream stage and the lead ability of the stock index futures is still at thecenter. The ability of the stock index futures lead the spot getting stronger, reflectingChina’s stock index futures market is gradually improving...