Spillover Effects Between Stock Index Future And Spot Market

After 5 years of the CSI 300 index future's officially listing,the SSE 50 stock index future and the CSI 500 stock index future launched again in the China Financial Futures Exchange.However,just in the following June to September,abnormal fluctuations in prices occurred in A-share market,during which the stock index futures sharply discount and the spot market continued to fall.Some people taken stock index futures as the culprit of the fluctuations.What is the relationship between stock index futures price and spot price in A-share market? Has stock index future played a role in risk hedging in the current round of fluctuations? Or has the futures enhanced speculation? How does the wave transferred between the future market and spot market? These issues have become the focus of attention of academia and the majority of investors.This paper is based on the period of abnormal fluctuations of A-share market in 2015,high frequency data of the CSI 300 and CSI500 index futures is selected,and VECM-BEKK-GARCH model is built,in order to quantitatively analyze the price discovery and volatility spillover effect between the stock index future and spot market.The empirical results are as follows:(1)A long-term equilibrium relationship exists between stock index future price and spot price,and the former plays a leading role in price discovery.(2)Arbitrage prompts the future and spot price to return to the equilibrium level,but the arbitrage mechanism has the asymmetry.(3)Significant two-way volatility spillover effect exists and this effect also has the asymmetry.(4)In the extreme market,excessive selling pressure and the lack of reverse arbitrage is the important reason for the stock index future's sharply discount.Cascade effect hasn't happened,but stock index future might be used by a small number of speculators to do malicious short selling.(5)Stock index future should not be blamed for the market crash as "culprits",to the contrary,it is conducive to iron out the spot market volatility.In the end,policy and suggestions are put forward,such as balance long-short power,improve the system of stock index futures,optimize the structure of market investors,improve the trading system and the united supervisory system between the future and spot market,etc.