Empirical Research Of The Correlation Between CSI 300 Index Futures And HSCEI Futures

After the born of joint-stock firms, stock entered the people’s field of vision, and had obtained a swift development. As the main places for stocks trading, stock exchanges were founded in the major countries（regions） of the world. The correlation between different stock markets has been warmly discussed. We choose the stock index futures of the markets in Shanghai and Hong Kong SAR to research the correlation of these two markets.Stock index futures are contracts that are based on stock indices, belongs to the family of financial derivatives. The earliest stock index future was born in Kansas City Board of Trade. The systematic risk of stock market was always a problem for investors to solve. Until the appearance of stock index futures, it is possible to eliminate the systemic risk of stock market. After that, index futures had gone through a rapid grow in each of the major markets. Singapore A50 index future is the first index future based on A-share listed companies. It came out in 2006. Hong Kong Hang Seng China Enterprises (HSCEI) future, listed in Hong Kong Exchanges and Clearing (HKEX), a market closely related to A-share market, also had China mainland-based companies.In 2006, China Financial Futures Exchange (CFFEX) was founded. After a simulation lasting nearly four years, CSI index futures were officially listed on Apr.16th of 2010. As an important part of the financial market, the derivatives market is becoming increasingly critical nowadays. CSI 300 index futures, the first domestic index future, are vital in improving our country’s financial market. On Nov.17th of 2014, the beginning of Shanghai-Hong Kong Stock Connect program would make the two futures more close since they already have a lot of same constituent stocks.In this thesis, we use statistic from Apr.16th of 2010, the day CSI 300 index futures went listed in CFFEX, and Jan.22nd of 2016, to check the correlation between the two. In these selected more than 1,300 days, both of CSI index futures and HSCEI futures are normally traded. Quantile regression can simulate the correlation properly. Based on the above conclusion, this paper makes some policy recommendations.