A Research On The Correlation And Volatility Measures Between CSI 300 Stock Index Futures And Spot Based On High Frequency Data

Whether the stock index futures will cause excessive speculation and lead to volatility in the stock market has been the subject of regulatory body con-cerned. CSI 300 stock index futures is an important financial derivatives,and it makes the volatility of the stock market reduce by nearly 20%. and it also has played a stabilizer, price discovery, risk transfer and other important role in the stock market. Since the emergency of CSI 300 stock index futures, stock market and futures market have developed quite smoothly. Naturally raised the following questions.Firstly,we need to study the relations of price guidance between the CSI 300 stock index futures and index spot.Secondly,to study the relationships between the two yields. Thirdly,to study the volatility. For the study of these problems, both investors and regulators are very interested in these questions. Therefore, this issue has a great research value.By means of the Wind terminal equipment,we download some relevant data, and the time span is from April 19th,2010 to September 19th,2014. Then, we apply quantitative research methods of mathematical statistics on the prices. We can estimate the changes in both the spot price and the futures price from a trend analysis.After studying on the 1076 data,we find the fol-lowing results.Futures price and spot price can reach a 99.92% coefficient.The spread rate in the range of 1% accounts for 93.49% in the number of days.The positive base rate accounts for 60.32%, and the majority futures market trading days belong to a world of premium status.Finally,we calculate the correlation coefficient between the yield reaches 94.56%.Q1:We download some relevant trading data of an interval of 5min from June 3rd,2014 to September 22nd,2014. On account of the different trading hours between the two different markets, we go after getting the panel data sample. After the stationary test, we make sure that the spot futures price data is not stationary, but their first-order differential data series are station-ary. After using the EG two-step test, we find the effect is significant.Finally,we acquire the ECM model which can quantitatively characterize the equilibrium relationships between the spot and the futures.Q2:We find that the spot yield p and futures yield q are stationary se-ries.By means of SAS software, we use the Granger test finding the following conclusions.The futures yield q can guide p, but p can not guide q. Then,we use quantile regression method,and we find the following conclusions.In the n-ear carve sites, futures and spot in price and yield both exist mutual guidance. In the nearby low-scoring sites, only does the spot guide yield of futures.In the vicinity of high sites, neither of these exists guidance relationships.Q3:To solve the question of spot futures volatility, we adhere to AIC criterion and GARCH class models, and we find the optimal models are AR(2)/ EGARCH(6,4) and AR(2)/EGARCH(6,6). This model reflects the volatility changing,and is of an important significance for the investors and regulatory authorities.Having a great knowledge of the above three problems, we can clearly know these relationships, thus those are good foundations for us.