The Spillover Effect In The Delivery Period Between Stock Index Futures And Spot Markets Based On BEKK-GARCH

Compared with all the financial futures, stock index futures launched late. After more than thirty years’ development, today’s stock index futures has become the world’s largest and most popular futures. As a new financial instrument in the capital market, stock index futures enrich investors’ portfolios and trading strategies, besides, it is the effective tool to avoid stock market’s systemic risk and arrange the finance. In April 16,2010,our country launched its own stock index futures—the HS 300 stock index futures. When stock index futures come into its delivery month, its price and volume have an unusual expression. At the same time, the speed of information dissemination will be affected because of the cash delivery system, investors’ psychology and so on. When stock index futures come into delivery month, will the volatility of stock index futures and the spillover effects of futures and stock markets have a significant change? These studies will provide important reference value for investors’ investment, regulators’ market supervision and effective risk management.This paper select the HS 300 stock index futures’ 24 stock index futures contracts—every five minutes high frequency data from January 2013 to December 2014. First establish a univariate GARCH model with dummy variable to analyze if stock index futures’ rate of return’s volatility has a significant change when it enter into the delivery month. Based on the results, we can determine if the futures and spot markets’ spillover effect have significant differences. The results are as follows: stock index futures’ rate of return’s volatility is inclined to represent reductive trend, but the degree of reduction is very small. So we can conclude that delivery month doesn’t change the volatility of futures. Delivery month doesn’t alter whether shock spillover exists, but the degree of shock spillover has significant change. When futures come into delivery month, some volatility spillover’s directions doesn’t change, the others have only a single direction change. The degree of volatility spillover also has significant change. Finally, according to the conclusions of the empirical part, appropriate recommendations for investors’ investment and stock index futures market’s stable and healthy development will be provided.