Empirical Research On The Interaction Between CSI300Stock Index Futures And China’s Spot Market

On April16,2010,China officially launched CSI300stock index futures.Itsintroduction marks China’s financial markets into a good stage of development,itprovides a new risk aversion tool to the spot market,and will as a result promote thestability and healthy development of China financial market in the future.China has introduced CSI300stock index futures more than three years,itsadvantages are gradually revealed with the rapid development of CSI300stock indexfutures,and thus the attention of regulators and investors are attracted up. In the essaywe will analyze the price guide and floctuant interaction between the two markets bystudying the interaction between the CSI300stock index futures and China’s spotmarket. The research conclusion will provide a reference for the financial instituionsto achieve the real-time monitoring of market price,it has a certain practical significanfor the future development of the CSI300stock index futures. The specific study willbe carried out from the following two aspects: the introduction of the stock indexfuture towards stock market flucutation and the co-movement effect between the stockmarket and the index future market.In this essay, we have found that the introduction of stock index futures doimprove the quality of its operation through empirical research. There are someconclusions as follows:(1) When we join the CSI500index in the mean equation ofthe GARCH model,the results show that the volatility of the spot market will have acertain level of decline because of the introduction of stock index futures. Theintroduction of stock index futures can improve the information transmissionefficiency of the spot index, so,the perormance of spot markets appear to reducevolatility.(2) We study the price relationship between the two markets by introductingfive minutes frequency data and using cointegration test and established VEC model.The results show that the stock index futures and spot within5minutes ofhigh-frequency price have a long-term and stable cointegration relationship.Meanwhile,there is a two-way transmission of information between the two cities.Futures and spot prices are available for non-equilibrium between the two markets toadjust certain extent, while the spot price has slightly larger adjustment, and Grangercausality test results there is a two-way causal relationship between them. Then weuse BEKK-GARCH model which constructde by the WinRATS software to analyze volatility spillovers between the two markets, the results show that volatility spilloveris bidirectional and volatility is persistent.