A Research On Linkage Between The CSI 300 Stock Index Futures And The Spot Markets

Since the beginning of reform and opening up,China’s economic strength is continually increasing.As the improvement of financial market and investors’ willing of avoiding market risks,China successfully launched the first stock index futures contract,the CSI 300 futures contracts on April 16,2010.The introduction of CSI 300 stock index futures is a major breakthrough for China’s capital market.The characteristics of hedging and short-selling make it an effective tool for investors to avoid market risk.It also broadened investors’ investment channels.Since stock index futures were establishment,the market is very active and its trading volume grows up quickly.Stock index futures greatly promote the process of the development of financial market in China and enrich the variety of financial market transactions.The correlation between the CSI 300 and spot prices has been a hot topic in academia since its creation.Because of the trading hour of CSI 300 index futures is shorter and data are scarce and hard to obtain,the study results of are not very mature.This year is the sixth year of CSI 300 stock index futures trading,the sample size is large enough,the scholars can systematically analysis the lead-lag relations and volatility spillover effect between the futures and stocks price.Based on it,this paper adopts the main contract data of the CSI 300 stock index futures to study from August 15,2013 to December 31,2016.This paper not only studies all samples,but also divides it into four group,such as rising phases,drawdown phases and open-close phases,Days of other phases,considering the particularity of opening and closing phase.This paper focus on some areas: long-term equilibrium relationship between the stock index futures and spot prices,the price discovery and volatility spillovers.Empirical research is mainly use VECM,PT model,IS model,Granger causality test,impulse response function,variance decomposition,DCC-MGARCH-t model and so on.Empirical research proof that:(1)The existence of stable long-term equilibrium relationship between the stock index futures and spot prices.In the long term the CSI 300 index futures prices lead the spot price.(2)In the short term,there is a two-way price guide relationship between the CSI 300 stock index futures and spot prices,but the power of the stock index futures is stronger than the spot prices.And in the drawdown phases,the leading direction of stock index futures is unidirectional.Not only that,in the sample,contributions of stock index futures in the open-close phase are the largest.(3)There is volatility clustering phenomenon both in the stock index futures market and spot market.Two markets themselves have volatility clustering.The study of market volatility spillover effects of each samples found that there are bidirectional in CSI 300 stock index futures and spot markets.Volatility spillover effect of rising stages are more obvious than the drawdown phases,open-close phases are more obvious than days of other phases.This means that market information transmission is more active between Rising stage and open-close phase.To sum up,this paper has analyzed the price discovery function and volatility spillover effect of the CSI 300 index futures in many ways.Our studies show that the CSI 300 stock index futures already have very good price discovery function.Volatility spillover effect is bidirectional,and volatility spillover effect of rising stages is more obvious than that of drawdown phases,open-close phase is more obvious than days of other phases.