Research On Stock Spillover Effect Of Stock Index Futures Based On High Frequency Da

It has been more than three years since the large-scale abnormal fluctuations in China's stock market in 2015.After the stock market disaster,the development speed of China's futures market has slowed down.There is still relatively little research on the role of stock index futures in the market during the stock market disaster in China.This article expects to use high-frequency data modeling to divide the stocks into two parts,the front and the back,and comprehensively analyze the price-discovery function of stock index futures during the period of the stock market,and the volatility spillover effect between the stock index futures market and the stock index market.Changes in two periods to illustrate the role of stock index futures in the stock index market during the stock market crash.Theoretical analysis and empirical research are the two main research methods used in this paper.Theoretical analysis mainly adopts literature research methods,qualitative analysis methods and comparative analysis methods,which mainly include the basic theory of price discovery function and the theory of highfrequency data to achieve volatility.In the empirical analysis,R software is used for research.The empirical evidence is mainly discussed from the perspectives of profitability and volatility.In analyzing the price discovery function,this paper examines the co-integration relationship of stock index stock returns,and establishes an error correction model.In the analysis of volatility spillover effects,this paper calculates the realized volatility of spot stocks based on high-frequency data.Rate,achieved double-power variation and jump variation,and then Granger causality test to study the relationship between fluctuations and jump.Through theoretical analysis and empirical research,this paper mainly obtains three conclusions: First,the price discovery function of stock index futures during the stock market disaster still plays an effective role,and the abnormal fluctuation of the stock index spot is transmitted to stock index futures.This conclusion is adopted in this paper.Under the framework of the model is not established;Second,during the normal operation of the stock market,there is a volatility spillover effect between stock index futures and the stock index stock,and the relationship is two-way.Once the abnormal volatility in the stock market,stock index futures have no spillover effect on the overall volatility and continuity of stock index stocks.The overall volatility and continuity fluctuations of stock index futures and stock index stocks have a one-way Granger significance.relationship.For a jump indicator that reflects a sharp and sudden change in market yield,the jump in the futures market will not be conducted to the subsequent spot market.During the period of the stock crisis,the stock index futures yield jumped substantially and was not transmitted to the stock index,causing the stock market.Great changes.The empirical results of this paper do not support the conclusion that jumps in the futures market during the disaster period will spill over to the spot market on daily frequency.Thirdly,the daily data lacks a lot of useful information.Under the premise of market micro-structure noise,using the daytime data to model directly may lead to erroneous conclusions.The conclusion of using high-frequency data is relatively more reliable.Finally,based on the empirical conclusions,the article puts forward several suggestions for the reference of relevant stakeholders.