Study On The Volatility Spillovers Of Stock Index And Futures Under The Background Of Stock Market Crash In 2015

The China stock market crash in the middle of 2015 has a significant impact on the spot and futures market.Many people blame the stock index futures for the crash,arguing that the massive short selling of futures markets led to a sharp fall in the spot market when there is a downward signal.The regulators then have imposed a number of measures to limit trading on stock index futures,including raising the margin,limiting the open positions,and so on.The domestic future market has advantages in the trading mechanism and the professional degree of the participants compared with the spot market,new information will react more quickly to changes in futures prices.Based on the background of stock disaster,this dissertation studies the volatility spillovers between CSI300 stock index and futures to validate the argument that the index futures have led to a fall in the stock market.Firstly,this dissertation reviews domestic and foreign relevant theories,empirical literatures and the elements causing volatility spillovers between different markets.Secondly,this dissertation summarizes the measurement models used to measure the volatility spillovers between different markets.Next,this dissertation collectes the daily trading data of CSI300 stock index and futures from 2014 to 2016 and the 5-minute high-frequency transaction data from 2014 to 2015.Then,we discusse the information conduction mechanism between the CSI300 stock index and futures before and after the stock disaster by establishing VAR and BEKK-GARCH models.Finally,this dissertation makes the robustness tests based on IC500 and IH50 trading data.The empirical results indicate that:(1)There are bidirectional mean and volatility spillovers between the CSI300 stock index and futures.However,due to a few intraday data,the BEKK-GARCH model does not converge and can not draw valid conclusions in the period of stock disaster.(2)There are bidirectional mean and volatility spillovers between the CSI300 stock index and futures in any time period based on high-frequency data.Using high-frequency transaction data to build BEKK-GARCH model is more robust than using daily data based on detailed comparisons.According to the results based on high-frequency data,we come to the following conclusions:(1)Before the stock disaster(2014.01-2015.06): the bidirectional volatility spillovers exist before the stock disaster when new information enters the market.However,both markets' variance lag items have little impact on current fluctuation.The spillover from futures to spot is dominant.(2)During the stock disaster(2015.06-2015.09): the bidirectional volatility spillovers exist during the stock disaster when new information enters the market,and the parameter representing the influence of futures market's variance lag item is not significant.The spillover from spot to futures is dominant.(3)After the stock disaster(2015.09-2015.12): the bidirectional volatility spillovers exist after the stock disaster when new information enters the market,and the parameter representing the influence of futures market's variance lag item is not significant.The spillover from spot to futures is dominant.In sum,CSI300 stock index futures has significant volatility spillover effects on the index only before the stock disaster,the opposite occurs when markets begain to slump.The empirical results do not support the hypothesis that the CSI300 stock index futures has led to a fall in the stock market.The conclusion has important reference value for how the supervision layer can reasonably formulate the trading rules of futures market.