Research On Sse 50 Stock Index Futures Price Discovery And Volatility Spillover

China's capital market investment entities are increasingly abundant,capital is expanding,and the system is becoming more stable.The timely introduction of stock index futures is the need for the internationalization of China's capital market,and is the only way for the next financial innovation in the capital market.2010 is the first year of the birth of China's stock index futures.Then,on April 16,2015,the SSE 50 stock index futures was officially listed for trading,providing lasting and strong support for the deepening reform and opening up of China's capital market.However,after the stock market crash in 2015,the existence of stock index futures was widely questioned by regulators,investors and other parties: whether it has played a good role,how it relates to the A-share market price,and whether there is a volatility spillover effect in the stock market.Therefore,it is particularly important to clarify the price discovery and volatility spillover effects between the SSE 50 stock index futures and the spot.The information transmission between SSE 50 stock index futures and spot mainly includes price discovery and volatility spillover.In this paper,the main contract of SSE 50 stock index futures and the 5 min high-frequency trading data of SSE 50 stock index in 2016-2018 are taken as the research object,and the vector error correction model is established,through this model,the short-term interaction relationship and long-term equilibrium relationship of spot price and stock index futures price can be realized.Combining the variance decomposition and the impulse response function,the dynamic interaction process generated by the two markets in a short period of time is analyzed,and the permanent ephemeral model is used to quantitatively understand the size of each market price discovery.Then,based on the EGARCH model of good and bad information,this paper studies the asymmetry of the fluctuation of the yield of SSE 50 stock index futures and index spot assets,and constructs the VAR GARCH-BEKKmodel,thus describing the volatility spillover effects of the two markets.As a result of the analysis,the results are as follows: In the short-term,the futures market and the spot market all have mean regression,but compared with the spot market,the futures market returns more strongly;the futures price rate precedes the spot price,fluctuating and leading the changes in the spot market.There may be two-way effects between the index spot market and the futures market.The spot market is more affected by the futures market,and the impact is faster.The contribution of futures to its forecasting error is much greater than that of spot.The SSE 50 stock index futures price discovery function is more significant than the stock index spot.The yield series of futures and spot markets show a volatility cluster effect,with large fluctuations accompanied by large fluctuations,small fluctuations followed by small fluctuations;and the volatility spillover effects of the two markets have two-way,but the resulting spillover effect of the futures market is greater and more significant.Finally,the paper puts forward the following suggestions to promote the improvement of China's stock index futures market mechanism and improve its functions: firstly,improve the joint supervision mechanism of stock index futures and spot market,secondly,establish and improve the stock index futures market system,and third,build a reasonable investment structure,guiding rational investment behavior.