Study Of Dependence Between Index Future Basis And Liquidity

In this paper, we use the CSI300stock index futures as research subject. Expandthe research for the dynamic relationship between the CSI300index futures basis andfluidity. Research the lead-lag relationship by Granger causality test between the basisand liquidity.Meanwhile we use Copula function, constructing time-varyingCopula-GARCH model,and we carry out a and empirical studies for relationshipbetween the CSI300index futures basis and fluidity.The results show that:(1)By Granger causality test we found that there is a two-way Granger causalitybetween the basis and liquidity. The introduction of liquidity indicators in favor offorecasting the basis, and then on the basis of the above can be predicted basis,so wecan take effective guidance for hedging.(2)The parameter estimation results of time-varying binary t-GARCH-Copulamode showed that:1The correlation structure between basis and liquidity istime-varying;2The up tail dependence is much stronger than the low taildependence, there is a significant asymmetry related regular pattern. It implied thatwhen the basis is gradually becoming smaller and tending to zero,the liquidity willcontinue to increase the likelihood of smaller, which will increase the cost ofhedging, affect investors seek opportunities to hedge,and reduce the effect ofhedgingTherefore, the stock index futures market regulators should be furtherimprovement and development of China’s stock index futures market, specificinitiatives are: the introduction of institutional investors to participate in futures trading,the formation of a mature market trading system; establish investor managementsystem, reducing barriers to entry shares; further improve risk management systems,to promote China’s financial market healthy and stable development of the necessaryconditions.