The Empirical Research On The Influence Factors Of Domestic Index Futures Based On The VAR Model

The stock index futures is a kind of financial derivatives. It aims at serving the stock market, managing system risk of capital market, stabilizing the intrinsic mechanism of the stock market, and providing hedging function for investors. Because of the high risk inside the stock market of our country, together with the severe fluctuations in stock market, there is an urgent need of bringing in new financial instruments which provides risk-managing function to improve the intrinsic mechanism of the stock market. After ten years’preparation, the first set of index future contracts in our country had finally listed in 2010-04-16. It is the emerging of Shanghai and Shenzhen 300 index futures that’s helpful to calm down the fluctuation of stock market of China, improve stabilization of the stock market operation, broad investment ideas of trades, strengthening and perfecting the financial market mechanism of our country. Up to now, it has been five years since the Shanghai and Shenzhen 300 index futures listed. With the gradually improvement of the futures market of China, it is now the right time to improve the index futures system of China. After a lapse of five years, our country is to introduce new kinds of index futures---the Shanghai 50 index futures contract and the CSI 500 index futures contract. We could imagine that as the join of the new members, the following behavior of market could be more effective and the trading atmosphere will be more active. Therefore it’s of great practical significance for the article to carry on an empirical study of the influence factors of the index futures in our country.In this condition, the writer takes empirical test on Shanghai and Shenzhen 300 index futures and its influence factors, and searches the ways of how Shanghai and Shenzhen 300 index、CPI、the money supply、exchange rate of RMB against the US dollar、growth rate of industrial added value、ISM、SPX500 index influence the Shanghai and Shenzhen 300 index futures and the effect size. The empirical methods used through the study are ADF unit root test, the granger-causality test, VAR model, and impulse response and variance decomposition. The empirical results show that, the Shanghai and Shenzhen 300 index futures and the Shanghai and Shenzhen 300 index both Granger Cause each other and there is a stable long-term relationship between this two. Otherwise, the growth rate of industrial added value also Granger Cause Shanghai and Shenzhen 300 index futures. And the result of impulse response and variance decomposition indicate that the most important influence factor is the price of Shanghai and Shenzhen 300 index. Also, the SPX500 index is the second important, while the ISM is the third influential. Therefore, the general conclusion we get is that, the most important influence factor is domestic economic growth, next is the global economic factor, and the global financial index is in the third place. And the suggestion we provide is that, while forecasting the price of the Shanghai and Shenzhen 300 index futures contract, it’s of great importance to grasp the trend of the Shanghai and Shenzhen 300 index、growth rate of domestic macroscopic economic、condition of global macroscopic economic operation, and also the condition of global index futures.