Empirical Research On Dynamic Correlation Between China Stock Index Futures And Spot Prices

April2010, the CSI300index futures market, thus filling the short mechanismof stock market, making China’s futures market and the whole capital market entereda new stage of development. But the price of stock index futures found that riskaversion, hedging and other functions are not well reflected in China. Tracing thesource, the main problem is the dynamic correlation between China stock indexfutures and spot prices between, therefore this article from the perspective of thedynamic correlation between the two indexes of our country to explore the realoperation between the spot price.In this paper, the index on the basis of domestic and foreign scholars, the spotprice of the underlying research, select the January4,2010-CSI December10,2010300index spot and futures prices of10704high-frequency data set for five minutes,the overflow from the price volatility spillover two aspects of the dynamic correlationbetween stock index futures and spot prices of more in-depth empirical research. Theresults were as follows:First, the empirical results show that price spillovers, China stock index, the spotprice exists between long-term and stable relationship with the two-wayco-integration relationship between the price guide, but in the short term there is onlyfutures prices on the spot to guide the relationship between stock index futures priceson the spot the price of the repair effort is stronger than the intensity of the spotfutures price; Meanwhile, stock index futures prices on the market,"new information"in the degree of reaction and the propagation velocity of the spot price is much higherthan the spot price on the futures. Price spillover effect reflects the problems are allissues of dynamic correlation between poor of stock index futures and spot prices.Second, the empirical results show that the volatility spillover effects, thevolatility of stock index futures makes the spot yield more substantial narrowing,which play a role in stabilizing prices in the spot market to some extent, but, compared to developed markets, stock index futures stabilizing effect on stock pricevolatility is not too obvious, indicating the lack of volatility spillovers between stockindex futures and spot prices, the problem can not be solved on the stock market to beaddressed urgently, the spot price volatility highly relevant.Finally, many problems exist dynamic correlation between stock index futuresand spot prices, the first analysis of the underlying causes of these problems and leadto enhance the relationship between the spot price from the price, to strengthen theprice "new information" disclosure system, and clear channels of informationdissemination, decreases in enhancing the ability to market to hedge price volatilityrelative magnitude and put forward policy recommendations.