Research On The Volatility Spillover Effect In Multi-markets

Risk management is the basic function of futures,and is also the core embodiment of relationship between futures and spot market.As a financial derivative tool,stock index futures helps hedging for one thing,the short-selling mechanism and high leverage ratio lead to risk accumulation for another.Only three stock index futures were launched in China.Thus the market needs further improvement.In the period of China's stock market slump in 2015,some scholars believed that speculators have short selling stock index futures to realize malicious manipulation.Under the above background,this paper compares the multi-market volatility spillover effects in order to help investors understand the stock index futures and related investment risks.On the basis of literature review and financial theory,it systematically introduces operation of markets and theoretical mechanism of volatility spillover effect.The research finds that volatility spillover process is affected by not only fundamental factors such as macro policy,unexpected events,economic cycles,supply and demand,but also heuristic biases and herding effect of investors.From the angle of the guidance relationship of the second-order moment volatility,firstly,a binary VAR-BEKK-GARCH(1,1)model is established to compare the volatility spillover effects.Secon dly,the ternary model is used to analyze the information transfer process among stock index futures.Finally,the case analysis method is applied to target the exceptional market volatility in 2015 according to the above ideas.The conclusion is that vola tility delivers from stock index futures to spot market,and CSI 300 index futures performs best among them.Due to the differences in the micro-structure factors,SSE 50 index futures lags behind in the process of information transfer between stock index futures.During the period of stock market crash,there is a two-way volatility spillover,and increased sensitivity to information.Stock index futures are not basic problems of stock market crash.And volatility spillover effect of CSI 500 index futures on the other two stock index futures is limited.