Research On Dynamic Relevance Between Stock Index Futures And Spot

China has been in Shanghai and Shenzhen 300 stock index futures since April 16,2010 for nearly 9 years.Stock index futures market and spot market are important financial markets in China.Studying the dynamic correlation between these two financial markets not only provides reference suggestions for investors to rationally allocate assets,but also has certain reference value for government supervision departments to carry out macro risk control..China is currently experiencing continuous economic adjustment.Many economic policies are being developed,which makes the uncertainty of economic policies increase and affects the performance and expectations of the stock market.In addition,due to China’s special national conditions,China’s stock market has the characteristics of "policy market",which makes the stock market and macroeconomic performance not synchronized or even deviate.Under this circumstance,it is of great practical significance to study the impact of economic policy uncertainty on the correlation of stock index futures spot market.Studies have shown that China’s stock index futures market and spot market are not only highly correlated,but this correlation is time-varying.In order to explore the reasons behind the changes in the correlation between these two markets,many scholars have tried to incorporate exogenous economic variables into the process of time-varying correlation,thus giving the model a higher explanatory meaning.However,while introducing economic variables,there are often problems with inconsistent data frequencies.Therefore,in order to solve the problem of estimation accuracy caused by inconsistent data frequency,this paper introduces a mixing model to explore the impact of economic policy uncertainty on the spot correlation of stock index in China.Based on this,this paper selects the empirical data from May 2010 to July 2018,and studies the dynamic correlation between tthese two markets one by one from the following three aspects.Firstly,the DCC-GARCH model is used to study the dynamic correlation of the spot market in the stock market during the same period.The empirical results show that the correlation coefficient of the spot market in the stock index period is large,and the fluctuation range is small,and its value is roughly concentrated between 0.75 and 0.9.The extracted dynamic correlation coefficients are then linked to economic policy events to visually analyze the association between two.Then,this paper uses the DCC-MIDAS model to explore the impact of changes in economic policy uncertainty on stock correlation during the stock index period.At the same time,the marginal distribution uses the GARCH-MIDAS model,allowing economic policy uncertainty to be incorporated into the assumption of volatility.Firstly,the GARCH-MIDAS model is established for a single market.The empirical evidence shows that the change of economic policy uncertainty has a significant positive impact on the fluctuation of the spot market,but the impact of economic policy uncertainty on the futures market volatility is not significant.Then based on the results of GARCH-MIDAS,the DCC-MIDAS model was established.The results show that the uncertainty of economic policy has a significant negative impact on the correlation between the spot market and the futures market.Finally,based on the empirical results of the above model,it is explored whether the mixing model introducing economic policy uncertainty leads to better hedging effect.Firstly,the hedging theory and the calculation method of hedging efficiency are introduced.Then the DCC-MIDAS model which introduces macroeconomic variables is established,and the hedging effect of each model is evaluated.By comparing the hedging efficiency,it shows that the hedging effect based on the mixing model is better than the same frequency model.The hedging effect of the DCC-MIDAS model with economic policy uncertainty is better than the DCC-MIDAS model with macroeconomic variables.