Empirical Research On Coupling Effects Between Stock Index Future And Spot Market

Since February24,1982, Kansas City Board of Trade launched its first stockindex futures contracts-Value Line composite average index contracts, the contractmarks the launch of the global financial markets began to enter the era of stock indexfutures. Subsequently, the country in the world launched their stock index futurescontracts. As the most important hedging tool, stock index future has undertaken anunprecedented development. On April16,2010, China’s first stock index futures-Hushen300stock index futures was lunched officially, which meant that China’sfinancial market had entered a new era. In this paper, we will discuss Hushen300stock index futures’effects on stock volatility and the Hushen300stock index futuresprice discovery function. From these two points, we have collected a lot of data toprepare these two issues empirical research.This paper is divided into six parts.The first part is introduction; it includes the research background andsignificance of the project, current researches at home and abroad, research methodsand the dates.The second part mainly introduces the concept of stock index future and itshistory, the development of Hushen300stock index futures, the linkage effects andresearch hypothesis.Thirdly, this part is about research models. Unit root test, cointegration test,error correction model, Granger causality test, cross-correlation analysis, impulseresponse analysis, analysis of variance models and theories are described.Both the fourth part and fifth part areempirical study. Based on the data ofHushen300stock index futures, we establish some models to study the empiricalresearch. On the one hand, we build up GARCH model and ARMA model todiscover the volatility of the spot market before and after the introduction of stockindex futures. On the other hand, we use a VAR model, Johansen test, VEC model, and so on to analyze the price relationship between Hushen300stock index futuresand spot market.The last part is conclusion and some suggestion. This study finds that since theHushen300stock index future was introduced, stock market volatility has beensignificantly reduced. Lower transaction costs of the stock index futures marketmakes the information transmit faster than before, which decrease the volatility of thespot market. We also found that the one-way price guide relations betweenHushen300stock index futures and spot markets, stock index futures and the spotmarket exists a lead-lag relationship. The leading stock index futures changes aheadabout5minutes.