Spillover Effect Research Between HS300 Index Futures And Spot Market Of Different Frequency

Since the stock index future listed in China,its scale has expanded gradually and become more mature and perfect.At the same time,the HS300 Index research has been influenced by foreign mature capital market instruments and statistical techniques.With the increasingly high frequency of use of statistical data index market,the results of research did by domestic scholars for the spillover effect between index futures and spot markets have new changes,especially in the interaction between price and volatility spillover.High and low frequency data each carry different information,so that the results for the same market and spillover effect is also showing different multi-dimensional.The new analysis will provide the operation investors a new theoretical support and direction.In this paper I collect HS300 index future and spot market price:the daily closing prices from January 1,2015 to November 27,2015,the high frequency data from May 4,2015 to November 27,2015.We first describe the spillover effects and summarize the return spillover and volatility spillover.Then we sort out related papers and conclusions and find that in most mature capital market,index future markets dominate spot index markets and mostly have excellent price discovery capacity.As for volatility spillover,different researches have not yet reached an accepted conclusion.Since the launch time of index futures in China is short,each phase of the volatility spillover effects is also different.In this paper,we use the financial time series analysis methods to analyze the lead-lag relation between HS300 index futures and spot market,the contribution to price discovery,market volatility,and volatility spillover effects.Apply VECM?P-T and I-S model to study the return spillover of daily data and the GARCH model and realized volatility model to study the volatility spillover of high frequency data.The research based on daily data finds that index future market dominates spot market,futures prices ahead of the spot price 1 day time;the research based on high frequency data shows that futures and spot market exists bidirectional return spillover effect,and future prices ahead of the spot price time 80 minutes,the spot price lead futures prices about 10 minutes.Both of two frequency data indicate that volatility of two markets are asymmetric,and volatility spillover from index future market can transfer to spot market sharply,while spot market has no volatility spillover effect on futures market.Everything indicates that China's index future market is gradually improving function.We can optimize institutional investors,strengthen market supervision and set up future margin percentage grading system to make further development of China's stock index future.