A Study On Relation Between Stock Index Futures And Spot Market In China

Stock index futures is a stock price index as the subject matter of the trading of financial futures, in the past thirty years, the representative international development innovation of financial products. In April 16,2010, China also launched stock index futures products, after a short period of four years of development, has play a decisive role in the financial market of china. As a kind of special financial instruments,stock index futures because of its unique properties in close contact with the stock index futures market, this paper mainly studies the linkage between stock index futures and spot market in four years.This paper applies the vector auto regression model, vector error correction model and impulse response analysis of linkage to the stock index futures market and spot market analysis. First the paper introduces the development of stock index futures and the present situation of the international market and China market; secondly choose 2012 -2014 two years of stock index futures and spot index data and the 2014 February stock index futures and spot index five minute high frequency data were measured, respectively on the yield of the unit root test, cointegration test, Granger causality test, vector error correction analysis, impulse response analysis and variance decomposition. By analyzing the results of the empirical analysis and comparison,the conclusion that the linkage between the spot market and futures market. On this basis, combined with the special situation of China's securities and futures market,some suggestions on China's stock index futures market and spot market healthy and stable development.