A Research On The Correlation And Mechanism Between Index Futures And Stock Market Crash

The evaluation of futures' revenue and risk is an important part of the theory of financial asset evaluation,and the study of stock index futures in the stock market crash has a very high research value.Stock index futures have the characteristics of good liquidity,low transaction cost,and high leverage.They are the important tools for investors to hedge systemic risk.However,when the stock market crash,there is always a criticism that the stock index futures exacerbated the spot market crash.In the three stock market crash of China's stock market in 2015 and early 2016s,stock index futures bear the criticism of shorting market.In this paper,we'll analyze the real effect of stock index futures in these three stock market crashes,whether stock index futures have the leverage effect of market fluctuation,and the micro mechanism of stock index futures market during the crashes.In this paper,we'll build AR(p)-GARCH(1,1)and AR(p)-EGARCH(1,1)models to analyze the volatility of the stock index futures market before and after the stock market crash.Besides,we'll also construct a cost of carry model based on 1-minute high-frequency data,calculating the intraday return of index futures,the absolute intraday return,the intraday volume,the intraday position,the intraday differences between the highest and lowest prices,and the intraday mispricing ratio.Then,we will analyze the micro mechanism of stock index futures during crashes.The final empirical results show that,firstly,whether the stock market is in the stage of the crash or the stationary stage,the information transmission effect of the stock index futures is similar,that is,the stock index futures itself is a neutral hedging tool.Secondly,when the stock market crash,the market panic sentiment on the futures market will have a more significant impact to the stock market.Thirdly,the design of synchronous transaction of spot and futures market,in essence,weakened the price discovery function of index futures.Finally,the regulators' actions of raising the proportion of futures margin restrictions and fees didn't work very well.In fact,the regulations reduced choices for investors,and is not conducive to long-term development of the financial market.