The Study On The Association Of China Stock Index Futures And Stock Market

In April 16,2010,the Shanghai and Shenzhen 300 share price index futures officially listed in the China financial futures exchange. China’s share price index futures launch has been in operation for more than 4 years,as the capital market, the trading volume and position reached to new highs,so far,the total turnover of 529000000 hand,total clinch a deal amount of 391.5 trillion yuan,the average daily turnover of 487900 hand,daily average turnover of 360600000000 yuan. However,the development of China’s financial futures,in the positive role and function for the real economy,the financial field of cognition,the social from all walks of life are no consensus,there are some questioning voice and misunderstanding. After November 11, 2010 Shanghai and Shenzhen 300 index reached 3509.98 of the high stage,all the way down,a lot of people attributed to the introduction of share price index futures and trading system,which leads to the weak trend of China market over the past four years. Then,what kind of effect on the Shanghai and Shenzhen 300 share price index futures and China’s stock market,whether the share price index futures develop the function of discovery and hedging in theory in the end at last,how we should make better use of the financial derivatives to promote the development of the securities market in the future,these problems have been the academic circles and the focus of concern for investors,so to research and investigate the relevance of this article on China’s share price index futures and stock market in this aiticle.Shanghai and Shenzhen 300 share price index futures and stock market as the research object,focuses on the subject of the relevance of research. First of all,to China’s Shanghai and Shenzhen 300 share price index futures and stock market operation situation as the foundation,from the relation of related theory,the pricing of share price index futures,share price index futures and the method of operation of share price index futures settlement price of these four aspects to the in-depth study of the share price index futures and the role of the market mechanism. Secondly,by using the knowledge of econometrics model building,the use of linkage of share price index futures and stock market ADF test,VAR model,Granger causality test,Johansen cointegration test,VEC model and Chow test of the stability analysis,the use of annual volatility,carries on the analysis since the volatility correlation diagram test, GARCH model and TARCH model the share price index futures and stock market,thus draws the empirical relevance of the conclusion of the Shanghai and Shenzhen 300 share price index futures and stock market in china. Finally,based on theoretical analysis and empirical research,combining the basicsituation of the development of our country at the present stage of China’s securities market,the paper puts forward some suggestions from theaspects of supervision system of share price index futures in China of system design and arrangement for the development of China’s securities marketand put forward policy suggestions.