Empirical Research On Fluctuation And Jump Effect Between China Stock Index Futures And Spot Markets After Restricting Trade In Stock Index Futures

This article focus on the research of differences in jump and volatility between China stock index futures and spot markets after restricting trade in stock index futures,which was implemented through SV-N stochastic volatility model and SVCJ model.The MCMC method,which is represented by Gibbs sampling algorithm,is used in estimating the potential transient volatility sequence of the three major stock indexes and stock index futures during the period of the investigation and the various parameters in SVCJ model.Through the comparative study on the indicators such as jump frequency,jump magnitude,continuous fluctuation mean,mean regression speed to analysis the difference in continuous fluctuations and jumping in spot and future markets.The empirical results show that:(1)potential instantaneous volatility of stock index futures fell rapidly after restricting trade in stock index futures,which effectively reduces the volatility spillover effect of stock index futures to spot markets.Moreover,according to the SVCJ model,during the investigation period,the phenomenon of futures markets fluctuation rate is lower than the spot markets fluctuation rate is common;(2)In the aspect of jump,the Blue-chip plate's futures(such as hs300 futures and sz50 futures)is more jumping,which refers to the jump frequency and jump intensity of futures is more severe than spot markets.And this has realized the leading role of valuation restoration for spot markets;(3)The leverage effect of the futures and spots market during the inspection period is not significant.Finally,this article putting forward the relevant policy suggestions,future prospects and the shortcomings in this research and the improvement direction.