Research On Price Discovery And Volatility Spillover Of Shanghai Stock Index 50 Index Futures

In April 16,2015,the introduction of Shanghai stock index futures,another stock index futures in China,provides a new option for Chinese investors to prevent investment risks and expand investment methods.Shanghai 50 index can reflect the overall situation of China's Shanghai stock market,and Shanghai stock index futures is a derivative product based on the Shanghai Stock Index 50 index.Therefore,the introduction of stock index futures in China's financial market is expected to be full of expectations.However,in 2015,China's stock market experienced a catastrophic "abnormal fluctuation".A large number of listed companies fell or stopped in a short time.The market investment sentiment was pessimistic and the stock market was depressed.Many investors and scholars believed that the stock index futures were "the real murmurs of the stock market plunge".Therefore,the dynamic change of price discovery and volatility spillover effect between Shanghai stock index and the 50 stock index period is particularly important.This paper first analyzes the literature and theoretical basis of price discovery function and volatility spillover effect.Secondly,based on the change of China's stock index futures trading policy and the trading operation of Shanghai stock market 50 stock index futures,the fluctuation time of the A stock market in China since 2015 to 2016 is the node.The whole sample interval of Shanghai stock market stock index futures is divided into the whole period of the stock market soaring period,the stock market special period and the stable development period of the stock market.Again select the main contract of Shanghai stock index futures 50 stock index futures and the Shanghai 50 Index 1min trading data,through the VEC model and the quantile regression method,the dynamic change of the price discovery function of Shanghai Stock Exchange 50 stock index futures,and the dynamic change of its volatility spillover effect with the help of VEC-DCC-GARCH model.The empirical results show that,first,the Shanghai Stock Index 50 stock index has strong price discovery function since it was launched.Second,in the period of the stock market,the digestibility of the futures market is weakened,and the function of the stock index futures is limited when the stock market hit a heavy blow.Third,the price discovery ability of stock index futures market in the period of the sharp fall of stock market is weaker than that in the sharp rise of the stock market,and the impact on the stock index futures market is greater than the index spot market.Fourth,the volatility spillover effect between Shanghai Stock Index Futures and stock market is asymmetrical,and the stock market dominates the spillover effect of stock index futures market in most of the time.Fifth,in the period of the stock market,the volatility spillover effect of the stock index futures market to the stock market is obviously decreased.Therefore,there is no evidence of "intensifying the volatility of the stock market".Finally,the following enlightenment,first,we can build a multi-level,efficient,real-time financial monitoring system;second,to actively promote the balanced development of "financing" business,to relax the derivatives trading restrictions;third,to enrich and distinguish the subject of the management of derivatives market participation,and can help to promote the effective play of the function of the stock index futures market in China.