Research On The Linkage Relationship Between CSI 500 Stock Index Futures Market And Spot Market

In April 2015,CICC released the CSI 500 stock index futures,which further enriched the capital structure of China's financial market.The main reason for the development of stock index futures in China is that stock index futures have the functions of hedging,price discovery and asset allocation,which is conducive to investors avoiding risks and rationally optimizing the allocation of funds.However,the function of stock index futures is based on the establishment of the spot market.Since the listing,the CSI 500 stock index has a linkage relationship with the spot market.Is there a price-guide relationship between the two markets? Does the CSI 500 stock index future have a price discovery function? Does the CSI 500 stock index future market and the spot market have volatility spillover effects? How do the volatility between the two markets change under different policies? This paper mainly uses the method of empirical test to study the above problems.This paper mainly studies the linkage relationship between the CSI 500 stock index futures market and the spot market from the two aspects of price-guided relationship and volatility spillover effect.First of all,it expounds the research background and significance of this paper,and summarizes the existing literature on the relationship between stocks during the stock index period.Then it introduces the definition and function of stock index futures in detail,and details the characteristics and development status of CSI 500 stock index futures and spot in the form of data charts.Then select the CSI 500 index daily closing point from 2015 to 2019 and the CSI 500 stock index futures closing price data,and use the VAR model based Granger test,impulse response,variance decomposition and VEC model to study the two market price guidance relationship.At the same time,the TGARCH model is used to study the asymmetric effects of the two market fluctuations.The BEKK-MGARCH model is used to further study the volatility spillover effects of the two markets from static and dynamic perspectives,and the following main conclusions are drawn:In the price guidance relationship between the CSI 500 stock index futures and the spot market,the correlation between the two is strong and there is a long-term equilibrium relationship;Granger test finds that the CSI 500 stock index futures price and the CSI 500 index have mutual guiding relationship.The impulse response,variance decomposition and VEC model regression results show that the CSI 500 stock index futures have a price discovery function.In the volatility spillover effect of the CSI 500 stock index futures and spot market,we first analyze the volatility characteristics of individual markets and find that the impact of negative news on the futures market is more significant and leveraged,but the spot market does not have leverage effect.From the static perspective of the full sample interval,the results of the volatility spillover effect between the two markets show that the CSI 500 stock index futures market has stronger volatility spillover effects on the spot market and has an asymmetrical effect.From the staged dynamic analysis,the stock index futures have a certain price discovery function within three months of the launch of the stock index futures,but the price discovery function is basically lost during the policy restriction period,and the volatility spillover effect between the two markets is weak.After the policy was loosened,the price discovery function of the CSI 500 stock index futures was the strongest,and the volatility spillover effect on the spot market was the most obvious.Based on the above research conclusions,corresponding revelations and suggestions are drawn.