Research On Price Discovery And Volatility Spillover Effect Of China's Stock Index Futures

Stock index futures is a great innovation in the history of financial development.It is a financial instrument created by people after experiencing various financial risks to avoid risks.Until now,the world's earliest stock index futures have been around for nearly 40 years.As a financial risk management tool,stock index futures is already mature in the developed capital market.Stock index futures have experienced various financial events in the developed capital markets in Europe and America.After so many years of development,it has been verified by time.China's stock index futures have been launched many years later than Western developed capital markets.Simulation of stock index futures before China's official launch of stock index futures has been running for several years,which is also a solid foundation for China's official launch of stock index futures.However,China's capital market is still immature and the market's regulatory measures are not in place.What impact will China's stock index futures have on my stock market after its launch? Does the operation of stock index futures in China stabilize stock stocks to some extent? Can stock index futures interact with the stock spot market? Can the risk aversion function of stock index futures be reflected in the Chinese market? There are many issues waiting for us to study.This paper selected the 5-minute high-frequency time data of the HS300 Stock Index Futures and Index Spot Contracts.The specific time period is from September 10,2015 to September 10,2017.Firstly,a series of data processing was performed.Then VECM model,impulse response analysis and variance decomposition analysis were used to study the price discovery function of HS300 stock index futures;BEEK-GARCH was selected for the volatility spillover effect of stock index futures and index spot market.Finally,we use the conclusions we have drawn to make some small suggestions for the healthy operation of China's stock index futures market.The conclusion of this study shows that the HS300 stock index futures index has a cointegration relationship with the spot price,which means that the stock index futures index has a long-term equilibrium relationship with the spot;after the Granger causality test,the index spot and The stock index futures price has mutual guidance;using VECM model,impulse response analysis and equation decomposition analysis,the stock index futures do have the function of price discovery on the spot;finally,the BEEK-GARCH is selected for the volatility spillover effect on stock index futures and index stock market.The conclusions prove that there is a volatility spillover effect between the stock index futures market and the index spot market.