A Study On The Dynamic Relationship Between Stock Index Futures And Spot In China

As an important financial derivative instrument,stock index futures play an indispensable role in the financial markets of various countries.Since its listed in 2010,China's stock index futures have been running smoothly,trading activity,trading volume is increasing,and the spot market has become increasingly interconnected,and the impact on the stock market has emerged.But our country at present the stock index futures market in both transaction scale,variety and trading mechanism and so on all has great gap with developed markets,it is just a start of the market,which determine the stock index futures market and stock market in China is different from the dynamic relationship between the developed markets,has its own features.This paper firstly analyzes the interaction mechanism between stock index futures and spot stock and introduces the interaction mechanism between stock index futures and spot,the interaction mechanism between stock index futures and spot market price discovery function and reveals the stock index futures Price discovery ability of the advantages of the impact of volatility and stock index futures on the spot stability.Then,the paper introduces the research methods of price discovery ability and volatility spillover effect between Shanghai and Shenzhen 300 stock index futures and spot,and makes an empirical analysis.Firstly,the Shanghai and Shenzhen 300 stock index futures and spot price sequence of the basic descriptive statistics,the use of smoothness test,co-integration test and Granger causality test to express the relationship between the two.Secondly,the paper uses the vector error correction model to study the price discovery ability of the Shanghai and Shenzhen 300 Index and tihe Shanghai and Shenzhen 300 stock index futures.Then,the price discovery ability of stock index futures and spot is further explained by the variance decomposition based on the vector error correction model,and the leading lag relationship between the two indexes is analyzed.Finally,the fluctuation effect of two markets is studied using EGARCH model and BEKK-GARCH model.The following conclusions are mainly drawn from the analysis:First,the Shanghai and Shenzhen 300 stock index futures and spot price series are non-stationary time series,there is a cointegration between the two,indicating that the introduction of the Shanghai and Shenzhen 300 stock index futures improved China's financial markets.CSI 300 stock index futures and its spot there is a two-way Granger causal relationship and long-term equilibrium relationship,and when a futures market and the spot market deviated from this long-term equilibrium relationship,the two markets will lag in the subsequent Period to make adjustments,making the two markets back to the long-term equilibrium.Second,the Shanghai and Shenzhen 300 stock index futures market volatility is more likely to undermine the futures market and the spot market between the long-term equilibrium relationship.In the long-term equilibrium of this information to the futures market and the spot market,the futures market can usually make a very rapid response,indicating that the futures market has a stronger price discovery ability.Variance decomposition also further verify that the futures market has a stronger price discovery ability than the spot market.Third,in Shanghai and Shenzhen 300 index futures contracts listed in the whole period,there is only from one direction of the futures market to spot market effect,and there is significant volatility cluster effect both in the market.When the CSI 300 futures market is not very mature,there is a fluctuation between the futures market and the spot market.When the CSI 300 futures market is mature,there is no ripple effect between the futures market and the spot market.With the continuous improvement of the CSI 300 stock index futures market maturity,"good news" in the influence of stock index futures market is reduced,enhanced effect in the spot market,"bad news" in the stock index futures market and spot market effects were enhanced.Innovation point of this paper is to choose can more fully reflect the dynamic relationship between the stock index futures and stock spot 5 minutes of high frequency data as the research object,the research of stock index futures and spot price discovery ability between joined the error correction term,the influence of the error correction term represents the long-term equilibrium relationship between stock index futures and spot.When analyzing the fluctuation effect relationship between stock index futures and spot,the time of study will be divided into the whole period of stock index futures contract,pre-market and post-market.However,this paper does not consider the impact of relevant policy changes on the research results,and the differences between Chinese stock index futures and stock spot trading mechanisms will also influence the research results.