The Research On The Volatility Spillover Effects Between CSI300Stock Index Futures And Spot Market

HS300index futures contracts had been traded in Chinese Financial Futures Exchangeon April16th,2010. It provided short mechanism for our financial market and maked upfor the defect of the unilateral trading in out stock market. Meanwhile, it enriched theproducts of the capital market and injected energy into it. Our stock index futures markethas run for four years. But it still belongs to the emerging capital market. Had theefficiency of obtaining information in the CSI300stock index futures market reached to theexpectation? Is there volatility transmission between the emerging stock index futures andthe spot? The study of these questions is the focus of our academic area.This article uses the BEKK-MVARCH model and the DCC-GARCH model to take thequantitative analysis of the two markets based on the five minutes high frequency data ofCSI300stock index futures and the CSI300index. The empirical results show that:Firstly, by using Granger causality test we find there is bidirectional causalrelationship between the stock index futures and the spot on the whole. In the stage ofdownstream and upstream the futures leading the spot play the dominant role. The stockindex futures realized the corresponding price discovery function.Secondly, the co-integration relationship test shows that there exists a long-termequilibrium relationship between the CSI300stock index futures and the spot. Althoughthe co-integration relationship between them is not obvious, it is because the market wasnot stable at the early stage. With the improvement of the market gradually, theirco-integration relationship becomes clearly.Finally, by building the DCC-GARCH model to study the dynamic correlationbetween the index futures and the spot we find that the yields of the two markets hadtime-varying characteristics on both the overall and different stage. The linkagemechanism of the volatility is strong. By establishing the BEKK-GARCH model to studythe volatility spillover effect between CSI300stock index futures and the spot we can findthat significantly bidirectional. Whether short-term or long-term, the volatility spillover ofspot market is the most active. With the time goes by, the volatility spillover effect between the two markets shows the characteristics that it enhanced then fall. From downward toupward stage, the durability volatility spillover effect of the CSI300stock index futuresmarket also has increasing trend, but in volatile period the volatility spillover effectintensity reduced. So the volatility spillover of the CSI300stock index futures market isstill in a dominant position between two markets. The volatility influence of the spotmarket to the index futures market is bigger.