An Empirical Study On The Information Transmission Between Shanghai And Shenzhen 300 Index Futures Market And Spot Market

Stock index futures is a standardization contract which take the stock price index as a representative. There is only one at present stock index futures product in our country, namely the CSI300index futures. The CSI300stock index futures is a representative of the CSI300index, and it has a good Marketing representative. With it’s launching, one-sided Market has ended, two-sided market is begin. In general, the mature stock index futures market has a respond quickly of the information, has a stronger discovery of the price.It can promote capital market to stability, improve the market structure. In this article, we take thel min of high-frequency data of the CSI300stock index futures and spot prices as sample data, to examine the dissemination of information between the CSI300Index Futures and the spot market.To examine the dissemination of information between the CSI300Index Futures and the spot market the every minute’s high frequency data of the two markets are investigated empirically. We take the ADF test and cointegration test by using MATLAB, the establishment of VECM model and impulse response function is on the basis of the former. The article study the problem from two aspects respectively:one is take the datas from it starts to the end, the results show that there is cointegration relationship between the two markets. The price discovery ability from stock index futures to stock index is comparatively stronger. The index futures prices take lead37minutes ahead of the CSI300index. However, the CSI300index prices take lead28minutes ahead of the index futures prices. The response speed of the stock index to the stock index futures is quicker and the response times is comparatively permanent and the stock index futures market has a dominant status in information transmission. the other is take the dates from the first half year and the last half year to compare, the results show that there is also has a cointegration relationship between the two markets, but it differents in the price discovery ability, in the first half year, the index futures prices take lead11minutes ahead of the CSI300index. However, the CSI300index prices take lead3minutes ahead of the index futures prices, however, in the last half year, the index futures prices take lead116minutes ahead of the CSI300index. However, the CSI300index prices take lead10minutes ahead of the index futures prices, the spot market contributes more to the new information.