Research On Volatility Spillover Effect Between CSI500 Stock Index Futures And Spot Market

To make up for the small market exposure,broaden the channels of financial risk management,On April 16 2015,CSI500 futures officially launched.However,its development is slightly bumpy.On June 2015,the stock market encountered an extremely rare "thousands of trading suspensions" situation,which made the CSI500 futures become the culprit.Based on this,On September 7 2015,A series of restrictive policy had been issued,which made trading rules unusually harsh,and the CSI500 futures was rarely been noticed.Until February 2017,The policy referring to CSI500 futures were relaxed.Firstly,which means this futures was experiencing health restoration,and tend to market-oriented.More than two years,This futures has experienced there periods,including a stock market slump,policy constraints and policy loosening periods,how to volatility between CSI500 stock index and its futures under different period and different policies.Is playing a risk management role,or malicious short selling of CSI500 futures,which increasingly became the focus of attention.Based on the empirical research of the volatility spillover between CSI500 stock index and its futures,this paper intends to clear internal linkage relationship and different functions of different policies.In the aspect of theoretical research,this article explore the inner transmission mechanism of volatility spillover effect from the perspective of "economic fundamentals" hypothesis,"international capital flows" hypothesis and “market infection” hypothesis.In the aspect of empirical research,five-minute high-frequency data was selected to examine the correlation between the CSI500 index and its futures through the GARCH model test.The following conclusions are drawn: firstly,The short-term deviation of the CSI500 stock index and its futures could be corrected in the long run.Secondly,each one is each other's Granger Cause.Thirdly,In the face of different information shocks,the CSI500 index and its futures are asymmetrical,and both are characterized by more sensitive to bad news.According to the behavioral finance theory,the main reason of this phenomenon is attributed to the irrational decision caused by cognitive bias formed under negative news.Fourthly,there is a spillover effect between the two markets,not only for short-term perturbations,but also for lasting effects.In particular,fluctuating spillover from the stock index to futures is in a dominant position.In addition,based on the investigation to the different period,we could draw a conclusion that is the CSI500 index futures is not the cause of the stock market crash,significant limit policy is likely to lead to deactivation of stock index futures,inversely,Relaxed policies could stimulate the market activity.Therefore,moderate regulation and return to market logic have a certain significance for performing risk management function of the CSI500 index futures.