Stock Index Futures Market On The Spot

Listing of stock index futures, promoted the innovation of financial products, changedthe pattern of China’s stock market, where investors can only become a stock market bull.After nearly4years’ development, daily trading of stock index futures outstripped the stockmarket’s daily volume. The development stock index futures attracted wide concern oninvestors, regulators, and academics. Do the stock index futures can inhibit the volatility ofstock market? How do the relationship between the prices of futures and spot market? Howabout effect of hedging in stock index futures? In terms of studying the affection stock indexfutures influence on the spot market comprehensively, In order to make the research morecomprehensive, this document selects different measurement model for the three issues in theempirical analysis.This study found that after the introduction of stock index futures, the volatility of stockindex has slowed down, but the effect was not apparent. In terms of information transfer, oldinformation impact on the market is larger than the new information impact on the market, theefficiency of information transfer was not been improved. By adopting EGARCH Model toanalysis, writer found that as Foreign markets Chinese stock index market also existnon-symmetry.Through analysis of the price of stock index futures and stock index futures, writer foundthat there is a long-standing co-integrate relationship between them. The long termrelationship will restrict their short-term fluctuations. In the short run, futures and spotinfluence each other, but the direction is not consistent, the change of the price of spot willcause the price of futures to move to the opposite direction, the change of the price of futureswill cause the price of spot to move to the same direction. In term of the degree of theaffection, the affection of stock index futures influence the spot market is more heavy than theaffection of spot market influence the stock index futures. In order to ensure the accuracy oflinear analysis, the article also focused on the non-linear relationship between stock indexfutures and spot market. Writer found that non-linear relationship does not exist. An important aspect of the impact of stock index futures on the spot market is stockindex futures as a hedging tool of spot market. So after studying the changes in the fluctuationof stock index, the relationship between the prices of stock index futures and spot market.This document focuses on analyzing the effectiveness of hedging. Writer adopted OLS,B-VAR, B-VECM, GARCH, VECM-GARCH model. Through qualitative research, writerfound that, the value of hedging performance are above0.9. It suggests that investors canavoid the risk of more than90%. If the purpose of investors is to minimize risk they shouldselect OLS model to determine the number of futures contracts so that they can achieve thebest goal. After considering the risks and benefits selecting VECM-GARCH model, investorscan achieve the best goal.