The Study Of The Volatility Spillover Effect Etween Stock Index Futures And Spot Market In China

The global financial market has achieved remarkable results since the birth of stock index futures in the United States in 1982,but the impact on mutual relations between stock index futures and the spot market is highly controversial.The academic and regulatory authorities began to study the correlation between stock index futures trading and stock market crash since the stock market crash in October 19,1987.With the launch of the HS300 stock index futures in 2010,China's long-standing financial market transactions has been broken.The depth and breadth of China's risk management and asset management tools is expanded.During the run of Chinese stock index futures market,although the overall stability of stock market has been enhanced,there has been a sharp decline in a short period of time,which makes the volatility spillover effect between stock index futures and spot markets attract more attention.Therefore,by further study of the volatility spillover effect between the two markets investor and manager are better to understand the function of stock index futures and clarify the operation of the law of financial products and trends,and it will promote the sustainable and healthy development of China's financial market.This article firstly makes a theoretical analysis of the volatility spillover effect between the two markets,and then the author selects five minutes of high-frequency data of HS 300 stock index futures and spot markets,which is analyzed by quantile regression,Copula function,GARCH model and GARCH-Copula-Co VaR models.Finally the author makes systematically analysis on the volatility spillover effect between stock index futures and spot market and draw the following conclusions:(1)In the short range,Our stock index futures market and the spot market only have a one-way volatility spillover effect from the stock index futures to the spot;but in the long term,there is a two-way volatility spillover effect between the two markets.(2)In the above process,the stock index futures market is more sensitive to the volatility spillover effect than the stock spot market,and the stock market price mainly depends on the stock index futures.(3)The volatility spillover between the two markets is asymmetric.(4)By the applicability analysis of several different estimation methods for the problem of volatility spillover effect.This paper argues that the accuracy ofestimation of GARCH-Copula-Co VaR model approach is best.(5)The estimation results of GARCH-Copula-Co VaR method shows that stock to the stock index futures volatility spillover direction of the intensity is about twenty percent less than the stock index futures to stock spot volatility spillover direction of the intensity.Due to the gap exists between stock index futures and stock market,the author proposes that T + 0 trading system of two markets should be synchronized,which makes exchange of information more effective.Managers should improve transparency of market and strengthen quality of information disclosure,so that the price guide becomes much smooth.On the micro level,investors should enhance the awareness of risk and management,and reduce the potential risk of market.On the macro level,managers should promote the process of international futures market and add vitality to volatility spillover effect between Chinese stock index futures and spot market.