An Empirical Study On The Relationship Between Stocks And Futures Under The Sino-US Trade Friction

With the deepening of reform and opening up,the Chinese government has gradually realized that the key to building a financial market is to expand financial openness and prevent financial risks.In April 2010,the CFFEX created the IF 300 futures.This is of great significance to the Chinese stock market,which lacks a short-selling mechanism.It not only provides investors with hedging tools,but also helps the overall market to operate smoothly.However,the trade friction between China and the United States has been escalating in 2018.The Chinese financial market has been affected by this and the market volatility has increased significantly.This paper aims to use the impact of this trade friction to study the relationship between stock index and futures and to verify whether stock index futures play their own functions in the face of shocks.It has significance for building a capital market.Based on the theory,this paper analyzes the direct relationship between stock index and futures through the no-arbitrage principle.Under the assumption of perfect market and imperfect market,the pricing formula and no-arbitrage interval of stock index futures are respectively introduced,which provides a theoretical basis for empirical research.Afterwards,in the empirical study,this paper selects the 5-minute high-frequency data of the spot and futures of the Shanghai and Shenzhen 300 stock indexes from March 19,2018 to October 19,2018,and quantitatively analyzes the data by establishing an VECM.By analyzing the empirical results,the paper draws the following conclusions: They have a significant cointegration relationship and even show a two-way feedback mechanism.Specifically,if the futures market is hit by new innovation,the spot market's response to the lagged period is not significant,but the subsequent reaction is gradually enhanced;when the spot market is hit,the futures market can respond in time.And keep the two markets relatively stable.This explains from the side that the stock index futures has a strong price discovery function and plays a role in guiding the stock index.At the same time,it also shows that the futures market plays a role as a stabilizer for the spot market,and can quickly respond to the impact of the market and digest it in time.Thereby reducing the direct impact of the impact on the spot market.Finally,the paper also analyzes the data on some time periods through the TVP-VAR model,and once again tests the stock index futures to have a stable guiding effect on the spot,and also finds that the impact of the message level has a certain impact on the two.Transmutation,that is,the stock market reacts differently to such shocks in different periods.The specific reason may be that investors are susceptible to emotional influence,and investment psychology is easy to change,which ultimately leads to deviations in investment behavior.