The Influence Of The CSI 500 Index Futures On The Fluctuation Of The Spot Market

In April 16,2005,the CSI 500 stock index futures has been launched which is the first stock index futures on behalf of China's small and medium-sized enterprises.It is of great significance to the development of small and medium-sized enterprises in our markets.However,the stock market suffered high volatility in June 2015,which caused stock index futures to be blamed.The CICC has issued policy restriction on China's stock index futures.Whether has the introduction of the CSI 500 stock index futures influenced the underlying asset volatility and the risk transmission relationship between the two markets? How does it play the function in our markets? These are important issues related to financial systemic risk management.The author analyzes the influence of stock index futures on spot market volatility from the perspective of risk management,price discovery and patulous DSSW model,and further analyzes the volatility spillover effect between the two markets.Then this paper gives a brief introduction about the GARCH model,VEC model,impulse response function,variance decomposition and VEC-DCC-MVGARCH model.Whether in short term or long term,the empirical part firstly using GARCH shows that the introduction of the CSI 500 stock index futures has little influence on the spot market volatility and has improved the efficiency of information transmission.Secondly,the author establishes VEC model,impulse response function and variance decomposition.The paper can get a conclusion that the CSI 500 stock index futures has obvious price discovery in the long term.Then in order to eliminate the heteroscedasticity of residuals,the paper constructs VEC-DCC-MVGARCH model.The empirical results show that the arbitrage function of stock index futures is realized,and stock index futures on the long-term equilibrium price adjustment is greater than the spot.The stock index futures market and spot market exist bidirectional volatility spillover effect,and the volatility spillover from spot market to futures market is higher than the volatility spillover from futures market to spot market.The volatility of futures market is more dependent on its own volatility,so does that of spot market.The volatility of spot market has more influence on its own risk,and the risk transmission from futures market to spot market can't change the endogeneity of spot market volatility.Finally,the author puts forward some suggestions about the design of stock index futures,system construction and risk prevention.