Research On The Risk Correlationships Between Markets Of The Stock Index Futures And The Stock

The stock index futures are indispensable parts of financial capital market,which has very important functions of price discovery and risk aversion to cashmarket. China’s stock index futures are officially launched and runningsmoothly.Under this background doing linkage studies for the risks between thestock index futures market and the stock spot market can provide beneficialreference to the average investors’ prudent investment.Supervision departmentscan also develop good risk-control mechanism and promote standardizedoperation of the financial capital market under its guidance.Firstly, we choose the CSI300stock spot market and the CSI300stock indexfutures market for the target market.The data of stock price from2008to2013and four typical contracts of stock index futures after2010which run morecompletely are taken as research objects to make statistical characteristicsanalysis and trend characteristics analysis.We can see the benefit series of thetwo market are all non-normal, leptokurtosis and fat-tail.And the directions ofthe earnings volatility of them are synchronization and gregariousness.Secondly, VECM model and SVAR model are used to analys thecross-market price-volume relationship between the two markets.The resultsshow that the stock cash market plays a dominant role in the adjustment ofshort-term disequilibrium to long-term equilibrium.There is a two-way pricediscovery function between the two markets.But the price discovery ability of thestock index futures market is higher.The relation is existed that the futures priceguides the spot price,and the lead time is two days.Thirdly, taken the changes of the own benefits of stock cash market after thestock index futures’s push-off as the angle,we use mean value analysis,panelmodel analysis method and EGARCH model to analyse the stock cash market’schanges of its volatility of earnings when stock index futures is introduced.Itturned out that the push-off of the stock index futures can reduce the earningsvolatility of the cash market.And this volatility will be smaller along with thedevelopment of mature of the stock index futures market.Then,based on the relations between the two markets’ risk transfer,GARCHmodel,EGARCH model and PARCH model are used to reseach the risk volatilityspillover,the boon and the bad to the transitivity of risk and transitive relation ofinformation in the day and overnight information to risk.Results show thatprominent effect of two-way risk volatility spillover is existed in the two markets and the transfer of risk information begins from the stock index futures market tothe stock spot market.And the transfor of good or bad information from the stockindex futures market to the stock cash market both have cascade effect andreverse lever effect.The diffusion efficiency and transmission efficiency ofinformation is higher than the cash market.What’s more, gains in the day andovernight gains of the two markets have obvious significance to gains in the dayofcorresponding market.And transmission efficiency of the cash market to theinformation is dramaticlly higher than the futures market.Finallly, found the risk early warning systems based on ARCH model andCvaR method to do a comprehensive measurement for the two markets’ own risksand risks after adding corresponding market related variables.Results show thatthe own risks of the stock cash market are significantly decreased after thelaunch of stock index futures.The valus of VaR and CvaR both decrease afterintroducing the risk variables of corresponding market.It shows that making fulluse of risk information of the two markets plays a big role to stabilize or avoidthe systerm risk.