An Empirical Study Of The Impact Of Stock Index Futures On The Stock Spot Market

Since June 15 of 2015,A-share has dropped dramatically.Till July 8th,the Shanghai composite index closed at 2364.05 point,fell 38.79%.At the corresponding period,CSI 300 futures main contract closed at 3463.40 point,fell 34.63%.Due to the insufficiency of short selling mechanism in the Chinese capital market and the close relationship between stock index futures and spots markets,the public consider the stock index futures as the main cause of this stock market crash.My paper will card this stock crash comprehensively and conduct empirical analysis of the linkage between the stock index futures and spots by picking up the relevant data of 203 market days between Oct.2014 and June 2015.I choose the analysis of HSI 300 index futures and HSI 300 as a start point of this research.Firstly,the paper starts with the definition,development history and economic functions of stock index future.It introduces our country's first stock index futures-HSI 300 index futures.The with the HS300 index futures data and HSI index data as the object of the research,empirical analysis of research results,evidence is divided into two parts:the first part we build up a model,combined with the structural changes of the VAR model,a comparative study on the spot market before and after the introduction of stock index futures sample data.Through these models,we analyze the impact of the volatility of the spot market after the lauch of HSI 300 stock index futures.The second part,by using the VAR model,co-integration test,Granger causality test and impulse response analysis,we analyze the price relationship between HSI 300 stock index futures and the spots,analysis futures and spot prices leading-lag the relationship.Empirical results show that there is a Long term equilibrium relationship between stock index futures and spots markets.The future price lead the spot price and water fall effect exists in our stock market.The impact of stock index futures to stock index is more statistically significant when the futures contract price fall.Based on the empirical results,I suggest establishing bilateral market,allowing moderate speculative transaction of stock index futures,strengthening the supervision of the mid-cap and small-cap stock and etc.