Time Lag Effect On The Price Fluctuation Of The CSI 300 Stock Index Futures

CSI 300 stock index futures, it is the CSI 300 index as the subject matter of financial derivatives.China's securities market in the three years after the demonstration of its debut, it is the introduction of the Chinese securities market has a landmark significance.In the Chinese stock market is not short varieties, it appears, for the majority of investment institutions to provide a better stock market risk hedging instruments, including the use of stock index futures hedging, speculation and arbitrage. Stock index futures because of the use of bilateral trading system and T+0, margin trading system, which determines that it can sensitively on the market in the emergence of new information, a timely response to the emergence of major information, thus the pricing efficiency is higher than the stock market.Therefore, since the introduction of stock index futures in China, the rapid growth of its trading volume, has become China's securities market, the important trading varieties.In practice, it is found that the price fluctuation of the stock market is a general phenomenon of time lag in the price fluctuation of stock index futures, which leads to the effect of stock index futures market leading to the stock market.At present, most of the research is mainly about the impact of stock index futures on the stock market,more attention to the volatility of the overall market, the stock index futures and stock market movements are not synchronized in time,the important phenomenon of the CSI 300 index relative to the CSI 300 stock index futures price fluctuations on the existence of time lag effect.How to make scientific, positive and active application of individual investors or institutional investors in the investment process, as well as a deep research and analysis of the investment process is rarely involved.In this paper, the effect of time delay on the volatility of the CSI 300 index futures is studied. It is not only to study the existence of the effect, but also to study the applicability of the time delay effect.First of all, through the CSI 300 stock index futures and the CSI 300 index for scientific and effective sample selection, and the use of statistical analysis of the method to demonstrate the existence of the existence of the universal. Secondly, the cause of this important time lag effect in the market analysis, after the cause analysis, it is found that the main stock index futures, the psychological role of the market participants, the impact of market manipulation, the market arbitrage factor four reasons.Finally, the emphasis is to study the applicability of the time lag effect of the CSI 300 stock index futures price volatility. A total of three categories were analyzed. Is its benchmark as the stock market operation; Second is based on the time-delay effect of arbitrage, and refined to four aspects carry out the application research, supplemented by case analysis; Three is the use of time lag effect and how to avoid the crash, combined with practice from individual investors and institutional investors two aspects to carry on the analysis.It is found that the price volatility of the CSI 300 index is the time delay of 1-3 minutes in the CSI 300 stock index futures, and the effect of the time delay is widely used in investment, and has high practical value and operational value.