The Research On Price Linkage And Fluctuation Spillover Effect Between Index Futures In China And Singapore

At present,Chinese financial exchange and Singapore International Exchange each subjects a stock index futures matters Chinese stock index.Due to the arbitrage transactions,the similar assets trading in different markets present a strong change in the same direction or coordination,and formation a price guide,and volatility spillover effect.A market of stock index futures on the existence of other related futures price volatility spillover and be able to guide often indicates that means the market is relatively strong.The difference of the trading market and the difference of the investors' structure will cause the domestic market to face huge risks in attracting investment funds,financial supervision and other aspects.The lack of research for China between the futures market and the international futures market price volatility and the relationship between academic circles,especially in the overseas listing,the subject matter is between the price index and the local index futures listed futures China A stock market how to influence each other,price volatility in one market to another a relevant market impact,and so on are few answers.In this paper,considering the correlation of the subject matter,the Shanghai and Shenzhen 300 index futures and Shanghai 50 index futures stock index futures market as domestic and overseas listing of the representative of the FTSE A50 index futures as the research object,using VAR model,cointegration test,error correction model,EGARCH model,and explore respectively exist in domestic financial market and overseas financial markets,the subject matter is the price linkage between the China A stock market index futures and volatility spillover.Through this research,we can recognize the relationship between domestic financial markets and overseas financial markets,is conducive to the future to provide a realistic basis to further improve the domestic financial market international recognition and market competitiveness;and to provide a reference for regulators in the us to formulate provisions and other regulations regulate the market transaction.Through empirical analysis,the conclusion is: the overseas stock index futures and stock index futures are guided to each other within the territory in terms of price changes,the FTSE A50 index futures on the weight stock density was relatively low in Shanghai and Shenzhen 300 index futures has more guidance,but itself is a single by the SSE 50 index futures guide,in general,the domestic market pricing in a stroke above.But in volatility,the domestic stock index futures are affected by the volatility spillover effect of the FTSE A50 index futures overseas,when the collaboration of fluctuations in global financial markets,huge potential financial risk is not conducive to domestic investors in stock index futures developed effective hedging,is more likely to bring the impact of instability the domestic stock index futures market.