Information Dissemination Between The SSE Composite Index Market And Future Index Market Inside And Outside

With the rapid development of Internet, the network plays more and more important role in making decisions for the investors in the market. Investors can not only express their views about the financial market though the Internet, but also collect efficient investment information containing a variety of insider information, rumors and hearsay by the Internet communication platform. The forum is the Internet communication platform which developed earliest and fastest. The forum provides an effective and convenient way of collecting and communicates information, which is the main place of communicating information for the investors, and the information has a significant impact on making decision for investors. Therefore, it has important theoretical and practical significance to study on the information transmit between the market and forum.This paper constructed a four-element BEKK-GARCH model based on the returns of SSE Composite Index, returns of Future Index, the abnormal volume on the forum bar about SSE Composite Index and the abnormal volume on the forum bar about Future Index to study the information transmit inside and outside the SSE Composite Index market and the Future market. This paper discussed the information transmission of different market, the information transmission not only existed inside the market, but also outside the market.The results of this paper show that there are information transmission between the returns of SSE Composite Index, returns of Future Index, the abnormal volume on the forum bar about SSE Composite Index and the abnormal volume on the forum bar about Future Index. The return fluctuation of SSE Composite Index last day can influence the abnormal volume fluctuation on the forum bar about SSE Composite Index in the future. Conversely, the abnormal volume fluctuation on the forum bar about SSE Composite Index last day can influence the return fluctuation of SSE Composite Index in the future; The return fluctuation of Future Index last day can influence the abnormal volume fluctuation on the forum bar about Future Index, Conversely, the abnormal volume fluctuation on the forum bar about Future Index last day can influence the return fluctuation of Future Index. This paper’s results also show that there are cross transmission in the information transmission process. The return fluctuation of SSE Composite Index last day has an impact on the abnormal volume fluctuation on the forum bar about Future Index, The return fluctuation of Future Index last day has an impact on the abnormal volume fluctuation on the forum bar about SSE Composite Index. Besides, there are information transmission between the forum bar about SSE Composite Index and the forum bar about Future Index. There are significant negative correlation between the market return and the abnormal volume on the forum bar, which shows that the market decline improved investors’demand for the information.