The Empirical Research On The Price Relationship Of The CSI 300 Index Futures And The Stock Index Spot

Stock index futures is one of the main financial derivatives,which has a wide range of applications in the investment,arbitrage and the risk management.After a long argument,on April 16,2010,China has launched the first stock index futures,namely the csi 300 stock index futures.The introduction of stock index futures,which closely links financial futures markets to the stock market,provides an effective risk management tool for investors in both markets.It is generally believed that stock index futures market can provide risk management tools for the spot market,plays the spot market price discovery function,and can increase the liquidity of the market at the same time.Before the stock index futures introduced and launched a period of time,the domestic financial scholars have done much research on stock index futures,and some research results show that the stock index futures market has very good play to the functions,some scholars think that due to the special market environment in China,China stock index futures market is still no effective play to its functions.Stock index futures has been seven years of time,the current running status,once again,therefore it is necessary to review for China's stock index futures market and cash market and research.Stock index futures is stock index for financial products,so the function of stock index futures market play relies heavily on and point to the benign interactive relationship between the spot price,therefore this article obtains from the relations between the two prices,comprehensive and in-depth analysis of the relationship between the price of the two cities,in order to further realize the operation condition of the stock index futures market to lay a good foundation.In this paper,the relations between the two,the price is divided into horizontal price relationship and variance fluctuation two levels,and then be studied respectively,and calculated the price relationship between a more comprehensive understanding.Based on the cointegration and vector error correction model and multivariate GARCH model is given priority to,auxiliary by the impulse response function and variance decomposition,and based on the full year 2016 stock index futures and spot price data,5 minutes to carry on the quantitative analysis,based on the analysis of empirical results,we found that China's stock index futures market and spot market has the long-term equilibrium relations and guide each other relations,stock index futures market trading rules set up the basic reasonable,with risk management function of the stock index futures market,the basis of the stock index spot market can more quick response all the market shocks,stock index futures market basically is able to play the price discovery function.