Research On The Linkage Between CSI300 Stock Index Futures And The GEM

In the 2019 government work report,Premier Li Keqiang mentioned: "Reform and improve the basic system of the capital market and promote the healthy and stable development of the multi-level capital market",which indicates the importance that the Chinese government attaches to the financial market.China's financial derivatives market started relatively late,until April 16,2010,the CSI300 stock index futures were issued for the first time.Since then,the development of China's financial market has entered a new stage.As an important supplement to the main board market,the GEM is a market that provides financing platforms for high-growth small and medium-sized innovative companies and emerging technology companies,and its important position in the financial market has become increasingly prominent.Therefore,studying the correlation between the CSI300 stock index futures and GEM has important reference significance for the stable development of China's financial market and for investors.At present,Chinese scholars' research on stock index futures is basically to study the relationship between stock index futures and spot market,and the research results have been relatively perfect.Considering that the GEM market is an important part of the multi-level capital market and an important supplement to the main board market,what is the relationship between the CSI300 stock index futures and the GEM market? Is there a linkage relationship? Research on this aspect is still insufficient.Therefore,this paper selects the perspective of the GEM to explore the linkage relationship between the two markets.Theoretically,it focuses on stock index futures and the GEM,and introduces the mechanism of linkage effect.On the empirical side,using the CSI300 stock index futures and the GEM index 1 minute high frequency data,using the VAR model and the GARCH model to study the linkage between the 2018 CSI300 stock index futures and the Growth Enterprise Market.The article has the following conclusions:Firstly,through the methods of cointegration test,error correction model and Granger causality test,the correlation between CSI300 stock index futures and the GEM market is stable and balanced in the long run,and the linkage relationship between them is effective for a long time.Regardless of the long-term or short-term,the CSI300 stock index futures accounted for the change in the price of the GEM.Secondly,through the impulse response analysis,compared with the GEM market,the CSI300 stock index futures market has a quicker response to the new information,about 2 minutes ahead of the GEM market,and the price change of the CSI300 stock index futures is ahead of In the GEM market,you can use the price changes of the CSI300 stock index futures to predict the price changes in the GEM.Thirdly,through the variance decomposition,the CSI300 stock index futures plsys a very important role in the volatility of the GEM market.The test results show that the price changes of the CSI300 stock index futures will guide the price trend of the GEM index.Finally,the GARCH model analysis shows that the CSI 300 stock index futures have little impact on the growth of the GEM in the short term,and will cause large fluctuations in the GEM in the long term.