Research On The Interaction Effect Of SSE 50 Stock Index Futures On Spot Prices

In order to improve China's financial market mechanism and improve the efficiency of the securities market,the China Financial Futures Exchange(CICC)launched the SSE 50 stock index futures contract in April 2015.However,in June of the same year,it coincided with the Chinese stock market crash.In the face of the turbulent stock market and the malicious short-selling behavior of some investors,the role of stock index futures was questioned by the public.CICC also issued a series of futures to strictly limit control policies to stabilize the futures market.After nearly four years of development,has the price discovery function of stock index and stock index futures that have undergone stock market crashes still dominate the spot?Can futures play a role in stabilizing the spot market?This paper studies the impact of the stock index 50 stock index futures on the spot price from the price discovery function of stock index futures and its impact on spot price volatility,and provides theoretical basis for government decision-making.The research content is divided into three parts:the first part of the research on the price discovery function of stock index futures,taking the spot price date data of stock index period from April 2015 to July 2018 as the research sample,and establishing the VECM model combined with the impulse response analysis.Relationship,using IS and CS models to measure the spot price discovery contribution,quantitative analysis of the relationship between the two.The research results show that there is a t,o-way causal relation hip between the futures and the spot.In the long run,the spot plays a leading role in the market regulation,and the futures play a guiding role,and the futures impact on the spot is faster than the spot on the futures;the futures IS model The price contribution rate is 93%,which has a strong response to new market information.The CS model price contribution is about 77%.Futures are more moderate in measuring the instantaneous friction generated by market noise and liquidity changes.The second part of the study is about the volatility of spot price in the futures market.The data of the SSE 50 stock index daily logarithmic yield is selected as the research sample from 2012 to 2019.The futures launch time point is used as the dummy variable and added to the GARCH model and EGARH model.The research r-esults show that after the launch of the SSE 50 stock index futures,the futures price will strengthen the spot ability,and the volatility of the spot market price will be weakened.But the weakening effect is very small and the information impact has asymmetry on the spot impact of the SSE 50 stock index.The impact on the market will be greater than the news of Lido.According to the results of the model,the EGARCH model was discussed to research the impact of the policy implementation of the stock index futures limit and the limit on the volatility of the SSE 50 stock index.The study found that the spot volatility research was greatly affected by the policy factors,and the implementation of the restriction policy on the SSE 50 spot.Volatility plays a depressing role,but as the policy of decommissioning continues to be introduced,the effect of futures on the volatility of spot volatility is transformed into an increase in volatility.The third part of the study combines the relevant literatures of developed countries,CSI 300 index and CSI 500 stock index futures.This paper conducts research and comparative analysis:1.Because some scholars'research period is limited to the stock market period and there are differences in the three stock index futures samples,the SSE 50 stock index The reason why the futures are relatively low in dispersion and poor in anti-manipulation ability causes the price contribution of the two futures SSE 50 stock index futures to be higher in the price discovery function,the adjustment speed is slightly slower,and the spot shock fluctuation is smaller.2.Comparing the futures market of developed countries,Chinese market environment fluctuations,market mechanism constraints and investors'irrational investment make the SSE 50 stock incdex?futures price discovery function significant.3.As the risk tolerance of the SSE 50 stock index is slightly stronger,the impact of the other two futures on spot volatility is more obvious.4.Compared with other literature research results,this paper finds that the impact of stock index futures on spot volatility is seriously affected by domestic policies.In order to improve the role of SSE 50 stock index futures in the price discovery function,this paper puts forward suggestions such as advocating rational investment,perfecting supervision system,accelerating product innovation and refining system design.