Research On Price Discovery And Volatility Spillover Effect Of Stock Index Futures

The launch of csi 300 index futures is a milestone in China's financial history,marking a new era of diversified investment and risk management in China's capital market.However,during the stock market crash in 2015,many people pointed to the financial derivatives market as the reason for the sharp decline.Under a series of regulatory measures,the liquidity of the stock index futures market dried up and the market function existed in name only.Price discovery is the most basic market function of the financial derivatives market and the basis for the existence and development of the financial derivatives market.With the revitalization of the stock index futures market,its market function is yet to be tested,and the major factors affecting the spillover effect of market fluctuations and the ability of price discovery need to be studied urgently.In this paper,csi 300 index futures and csi 300 index are taken as the research objects.On the basis of theories and literatures,theoretical models and analytical frameworks of intermarket price discovery process,volatility spillover effect and influencing factors of price discovery are constructed.By 10 minutes of high-frequency data from market equilibrium relationship between,the relationship between the price lead-lag(VECM),plus or minus logarithm returns granger causality,the price discovery contribution(IS model,PT model)in four aspects: test the csi 300 index futures exchange rate twice cut margin ratio and lower transaction procedures under the background of the price discovery function,using the VEC-BEKK GARCH model test of two market twice cut margin in exchange rate ratio and lower transaction procedures under the background of transmission mechanism and strength changes of volatility spillover,The main influencing factors affecting the discovery of stock index futures price are revealed from four aspects,namely,transaction cost,investor sentiment,market liquidity and market relative volatility,so as to provide reference for investors to make decisions and provide policy Suggestions for regulators.On the basis of qualitative and quantitative research on the discovery function and volatility spillover effect of stock index futures price this paper further discusses the main influencing factors of the discovery ability of stock index futures price.The main contributions are as follows :(1)the price discovery that the spot market dominates the long-term equilibrium market and the futures market dominates the short-term equilibrium market.There is a two-way granger causality in cash market,a one-way granger causality in positive earnings and a two-way granger causality in negative earnings.(2)the contribution of futures market price discovery is relatively high,and the contribution of futures market and spot market price discovery is increased under the background that the exchange has twice lowered the margin ratio and reduced the transaction procedure rate.(3)there is a two-way volatility spillover effect in the futures market and the spot market,and there is no change in the volatility spillover effect in the futures market and the spot market under the background that the exchange has twice lowered the margin ratio and reduced the transaction procedure rate.(4)transaction cost(margin ratio,transaction procedure rate)and market liquidity are the main factors affecting the price discovery ability of stock index futures.There is a significant negative correlation between transaction cost and price discovery ability,and a significant positive correlation between market liquidity and price discovery ability.In addition,investor sentiment and relative market volatility can reduce the contribution of futures price discovery,but to a lesser extent.