Research On The Relationship Between Stock Price And Stock Price

Stock index futures has price discovery function, namely, its price is authentic,anticipated, continuous and authoritative. The stock index futures in our country is in a stage of development, Hushen 300 index is the only stock index futures in our country. Because the price of stock index futures relates closely to its residual expires, so we use the IFL0,IFL1,IFL2,IFL3 and Hushen 300 index as the subjects.Therefore, we choose these four products and Hushen 300 index as the object to find the relationship between spots and futures price. Starting from price volatility, basis volatility and influence/ causality between spots and futures price, we choose ARMA model and AR-GARCH model to analyze the volatility of spots and futures price and their basis after related testing, next we use ECM and the cointegration equal with Granger Causality Test to inspect the influence and causality between spot and futures price.It turns out that as the residual expires increase, the long-term trends of spots and futures prices become clearer and short-term fluctuation become more sensitive; the factors which impact the volatility of basis become more complicated and early information has a greater influence while recent information’s influence wears off. For influence and causality relationship between spots and futures price, with the residual expires increase, the impact of stock index futures price on spots price for long-term cointegration or short-term fluctuation, becomes weaker; but the leading function becomes stronger. This shows residual expires plays an important role in the relationship between spots and futures price, so we should give enough attention to it in our investment and modify our investment strategy.