Study On Volatility Spillover Effects Between CSI300 Stock Index Futures And Spot Market

With the launch of CSI300 stock index futures in 2010,the system of China's capital market was further improved.But China's stock market soared and crashed in 2015,it was questioned that stock index futures helps to intensify the market volatility.International experience proved that the stock index futures are an indispensable part of financial market,it helps to promote the coordinated development of financial market.Although the current stock market is in stable period,there is the practical significance to study on stock index futures and spot volatility spillover relationship with rising period,declining period,and stable period,and there is the theoretical significance to further improve the trading system of stock index futures,and to play the function of price-finding and hedging.This paper focuses on the CSI300 stock index futures and spot markets volatility spillover effect by using the literature methodology and empirical method.First of all,reviews the domestic and foreign literature about the relationship between the two markets,sums up the characteristics and influence factors of financial market volatility,together with volatility spillover effect mechanism.The third chapter is about the empirical design,this part selects the sample range from December 2014 to January 2017.According to the trend and risk,it is separated different periods to observe the lateral changes of markets.At the same time,it is combined 15 minutes data with daily data to obseve the horizontal changes of markets.Empirical testing is to analyse the changing process of spillover effects with the dynamic model BEKK-GARCH(volatility spillover effect)and DCC-GARCH(dynamic correlation).The results show that there is the long-term stable relationship,and there is obvious bi-direcdtional or unidirectional volatility spillover between the two markets.During the transition from high to low frequency data,it could be seen that the two markets are interactive and converted in three periods of trend division,the performance of the declining and stable periods are the opposite of the rising period,and it could be seen that the unilateral force dominated in tow periods of risk division,the spot market is as the leading force during the high risk period,the low risk period is opposite.Based on the empirical results,puts forward the corresponding suggestions on function exertion of stock index futures,trading mechanism,supervision,etc.