The Risk Correlation Research Of Stock Index Futures Market And Stock Spot Market

Since stock index futures was born in the 1980 s,more and more countries launched stock index futures,stock index futures also gradually play its unique advantages and characteristic.Today,the stock index futures has become an integral part of financial markets.The Chinese securities market has developed more than 20 years,in which the securities market from crude to mature,from single to various.In2010,Our country launched the csi 300 stock index futures contract,which improve the development of securities market.After introducing stock index futures and completing the first contract,stock spot market fall in the next days.So many scholars and analysts believe that stock index futures market and stock spot market has a necessary relationship,which led to the decline in the stock spot market.Although stock index futures have introduced for five years,all the participants don't learn the stock index futures market and stock spot market.Learning the correlation of risk between the spot market and stock index futures market will help reduce price volatility in the securities market,and can help investors predict future price movements.This paper is divided into three major parts to the relations between the two market price earnings volatility:In the first section is mainly the introduction part and related theoretical part,which introducing the background of selected topic,purpose and meaning,domestic and foreign research related literature review.And,we discusses the related theories of the article used in the study and literature review.we describe the characteristics of the futures market,trading rules and function in China.Then,we introduces the main research methods used in related research at home and abroad,finally introducing the main methods we used.The second plate part is empirical research.In addition to conduct some correlation analysis,stationarity test,cointegration test and causality analysis and lead lag analysis which are preliminary examination,especially respectively using mean value analysis,the panel model analysis and EGARCH model,which analyzing the impact of the stock spot market prices before and after introducing the stock index futures.Finally,we respectively using GARCH model,EGARCH model and PARCH model,researching the risk volatility spillover of two market,good bad news transmission relationship and overnight information on the risk transfer relationship between the two market.From all of the analysis,the papersummarizes our empirical research,and put forward the corresponding policy Suggestions.then,we points out the deficiencies of the article and the future development direction.Through the empirical study on two markets,this paper draw the following conclusion: the two market price earnings volatility have some relationships.with the launch of stock index futures,to a certain extent,stock index futures reduces the stock price fluctuation in the spot market.the stock spot market price earnings volatility will also affect the stock index futures market,but the effect of price earnings volatility each other between the two markets is very limited.with the development of stock index futures market is maturing,futures species increasing,and the system of perfect,stock index futures market will effects the stock cash market in a more obvious way in the future.