Research On The Transmission Of Information Between Stock Index Futures Market And Stock Index Spot Market

From the running of mature foreign stock index futures market, the opening of futures market can produce an effect on the stock market in many aspects such as price and money flow. As the time of HS300index futures is not long, the transmission of information between stock index futures market and stock index spot market is not clear. So this paper studies their relationship from two aspects:price lead-lag relationship and volatility spillover.As we can see from the existing research achievements of abroad, the majority of research results show the stock index futures market has a dominant status in information transmission while the volatility spillover between the two markets is mutual. Before the advent of stock index futures, many scholars in our country adopt the simulation transaction data for research, and find that the stock index spot market has a dominant status in information transmission. Although the scholars also make some research after the advent of stock index futures, these studies are mainly focus on the price lead-lag relationship. This paper studies their relationship from two aspects:price lead-lag relationship and volatility spillover. At the same time, the paper also tests the price discovery ability of stock index futures market. This paper studies the price lead-lag relationship between the two markets by using co-integration test, error correction model, impulse response function and variance decomposition. Information sharing model and common factor model are used to study contribution of price discovery of stock index futures in China. As the DCC-MGARCH model can not get the volatility spillover effect of the two markets, this paper uses BEKK-MGARCH to analyze the volatility spillover effect.The result shows that the index futures market reflects new information more quickly than the spot market and there is mutual volatility spillover between index futures and spot prices in China market. At last, this paper analyzes the reason from three aspects:the differences of product design, trading mechanism and investor structure.