The Empirical Study Of The Relation Of The SSE 50 Index Futures And ETF

The SSE 50 ETF came to market on 2005-02-23,The SSE 50 index futures came to market on 2015-04-16,it is the 2nd index with both futures and ETF.By studying derivatives with same undergos on price discovery,hedging and volatility spillover,we could discover the information flow and influence between them,improve theory level of price discovery and hedging,then get a deeper understanding of the influence between them,to help government better govern market and macro control,it is also helpful to investers,the study of price discovery,hedging and volatility spillover can offer directory of hedging and arbitrage decision.For the people in market,it is vital to have a market of effective covolatility and choose the proper hedging strategy for money preservation and improvement,and effective risk control.The artical choose a sample in 1min price of SSE 50 index futures and ETF form2015-04-16 to 2016-05-17 trading days.Form price discovery,hedging and volatility spillover3 directions,the artical studies the relation between SSE 50 index futures and ETF,finally gets the results under.1.On volatility spillover,there are 2-way volatility spillovers between SSE 50 index futures and ETF,we can see that there is a fluent information channel between them.2.On price discovery,the futures has a contribution of 71.95% with ETF 28.05%,SSE 50 index futures has dominent power.3.On hedging,with all hedging models,the effectiveness is between 37% and 38%.We can see that SSE 50 index futures have some hedging functions.Finally,the artical improve some suggestions from innovation,law,propaganda and technology.