A Research On The Volatility Spillover Effect Between CSI300 Stock Index Futures And Spot Market

Since the development of China’s stock market from 1989, there isn’t a unified index to combine the two markets, it has been relying on the Shanghai Composite Index and Shenzhen Composite Index to reflect the trends of the market in 16 years. Until 2005, the launch of the CSI 300 index makes up the defect of the large financial market in China. The launch of the CSI 300 index is not only convenient for investors to judge the overall economic situation in our country, but also provides the necessary premise for our country’s financial market the further deepening. One year after the introduction of the CSI 300 Index, our country launched simulation trading of Index futures based on CSI300, and finally launched the CSI300 stock index futures on April 16, 2010 under the effort of multi-agency for 4 years. The introduction of the CSI 300 end the situation of only expect profit from rising stock prices, providing a way to profit from the fall stock prices for investors. It is the milestone in our China’s financial market development.Volatility spillover effect is mainly used to study the linkages between different direction and size of market volatility spillover, so it’s essence is a vector. As our stock index futures market started late, its performance is not stable enough, so this classic problem of volatility spillover index futures and spot markets in our country is still needed further study.In content, This paper first made a detailed presentation of the theory for CSI 300 Index and the CSI 300 Index futures,, which mainly emphasis on the feasibility for CSI 300 Index as the subject matter of CSI 300 index futures and the importance of CSI 300 index futures to our China’s financial market. Then estimate the volatility spillover effect between CSI300 stock index futures and spot market and compare the situation between our country and America which behalf of s&p500 index. Final results displays that although both our financial market and America’s financial market show the presence of each other spillover effects, that in the main of the volatility spillover from futures to currents, our situation exhibit extreme asymmetry. This indicates that either futures market’s risk is too high or spot market’s operational is too low problem exist in our country currently; In method, This paper combines the EMD and CoVaR, it’s not only make the results even closer to the actual situation, but also giving specific values to the spillover effect, which make big facilitation comparison between different markets.