The Empirical Research On The Linkage Effects Of The Stock Index Futures And Stock Markets

In the1980s, the stock index futures began to appear on the historical stage. As with fulfilling of the function and the embodiment of the advantages, the stock index futures has now become an important part in the financial markets. And a growing number of developed and developing countries have launched stock index futures in there markets.The stock market in China has experienced20years of development, which is gradually moving toward maturely. After the completion of the reform of non-tradable shares in2006, the structure and the foundation of institution of the A-share market was able to improve. In order to improve the investment environment and the financial system, reduce the systemic risk, we put up the CSI300Index futures in April16,2010which indicates that we stock index future market enters into bilateral era. After the launch of the CSI300stock index futures, A shares experience unilateral fall immediately. When the first main contract (IF1005) Closing, the CSI300Index fell more than15%. Many scholars and industry delegates believe that the delivery pressure to the futures market continued to pass to the stock market, which resulting in the fall of A shares stock market. Although the stock index futures has launched nearly three years, but for investors it is still a relatively new method. For all participants, the mechanism for stock index futures, features, and the relationship between futures and stock markets remain to be improved. Meanwhile, the eruption of the U.S. financial crisis is closely related to the proliferation of financial derivatives. Although comparing with the risk of international popular financial derivatives, stock index futures of CFFE has less risk and better degree of arbitrage, but stock index futures is a zero-sum game, domestic investors’knowledge reserve is not enough to cope with the huge risk.As we all know, the Stock index futures and spot markets are closely related, so it is crucial for the long-term interests of investors to resolve the problem of the relationship, influence between the two markets and the characteristics of them. In this article, we use three-year stock index futures market data to research the volatility influence of CSI300stock index futures on the spot market and the price guide relationship between the two market. The most innovation is the use of a more rational division of the sample space, in the study of the volatility between CSI300index futures and stock market, we creatively divide the sample into two groups which is short-term and long-term data.Using a sample of more fully space, through short-term and long-term volatility contrast, the result is more reasonable and persuasive. The result indicates that the two markets have long-term equilibrium relationship, the stock index futures market can stabilize Stock market volatility and guide the spot market price.The framework of this study mainly has the following components:The first part is an introduction. It introduces the research background, the development of the futures market in China, the significance of research, ideas and frameworks.The second part is the stock index futures-related theories and literature review Firstly, it introduces the theory of stock index futures, including the features, functions, trading rules. Then it introduced the relevant literature research on the stock index futures in foreign related literature review, mainly from two aspects which is the volatility and price guide. In the domestic literature review, it mainly introduces from two period which is before and after the launch of the CSI300Index futures.The third part is the empirical test which is based on the volatility. This paper introduces the use of empirical models and the process and the results of the empirical tests. On volatility test, it mainly tests the volatility and the spillover effects of the stock index futures market between the before and after period.The fourth part is the empirical test based on the interaction between the price. It introduces the use of major models, including the unit root test, Granger causality test, cointegration test, error correction model, impulse response functions and variance decomposition method; while putting out the process and results of empirical testing, and making fundamental analysis based on the results.The fifth part is the analysis of empirical results and recommendations According to the empirical results the third part and the fourth part, it firstly draw the basic conclusions of the examination and makes detailed analysis based on an analysis of the results, then puts forward the appropriate policy recommendations, meanwhile illustrates the inadequacies of this article.