A Study About Stock Index Futures Influence On The Spot Market

Stock index futures is one of the types of financial derivatives, since the United States for the first time, gradually spread to the world's main financial markets, the financial markets, has an irreplaceable role.Stock index futures is based on stock index as the underlying asset of financial products, but the corresponding trading mechanism are different from the stock market, formation and index in the spot market has a very close relation and distinction between the futures market.In the process of market pricing, filled with all kinds of information, the information is absorbed by the market and response,form the impact on prices.In related market, its information is highly consistent, the influence of related basic consistent impact on market price, but due to the market, the subtle difference between the information and the influence of the reaction efficiency is different, there is a market better than the other take the lead in response to information of the market, but also the existence of market to another market conduct lag response.The correlation of stock cash market and futures market, embodied in two market in price discovery ability on lead lag relationship.At the same time, when the stock index futures,due to the high correlation with the spot market, its fluctuation have obvious convergence.In finance field, it is generally believed in the price discovery and leading stock index spot, stock index futures have price discovery function, many scholars have also used a variety of methods to study different financial markets, as a result of research methods, research object, the different time, the results of the study is mottled.But most of the research results show that the more mature financial markets, the more obvious the stock index futures price discovery function.At the same time, in view of the stock index futures introduced whether impact on volatility of the spot market, there are a lot of research.Based on the csi 300 stock index futures, and more recently listed on the Shanghai50 index futures and csi 500 stock index futures as the research object, from the stock index futures and spot market and the correlation of stock index futures on the spot market volatility influence two aspects were studied.In stock index futures and spot market relevance, mainly through the use of cointegration, granger causality test, error correction model, vector autoregressive model, impulse response analysis methods, suchas price discovery function of stock index futures for empirical research.The study found that the csi 300 stock index futures and Shanghai 50 index futures, csi 500 index futures and spot market have a long-term equilibrium relationship and error correction model is then analyzed the stock index futures and spot market the dynamic relationship between the length of the period, found that more than the spot market, the Shanghai and shenzhen300 index futures, has 50 index futures have stronger ability of price discovery, however csi 500 stock index futures market and no obvious ability to lead in the spot market.At the same time through the impulse response analysis, the paper analyzes the different markets outside the absorption of shock response path, from the Angle of information to absorb, stock index futures market from the spot market has obvious advantages, also found that the goods market for information absorption reaction obvious tendency of lag,lag period for 5 minutes.In volatility of stock index futures on the spot market, through the GARCH model to study the volatility changes before and after the launch of stock index futures, it is concluded that the csi 300 index futures volatility have no significant effect on the spot market, the Shanghai 50 index and the csi 500 index futures launched in the corresponding target, volatility increases significantly, at the same time through the EGARCH model, and find that the csi 500 index and shenzhen 300 index as the launch of stock index futures, significantly reduce the degree of leverage.Finally the author according to the result of empirical analysis, combining the situation of China's foundation, gives the policy Suggestions.