Research On The Relationship Between Stock Index Futures And The Stock Market

The relationship between stock index futures and the stock market has always been a hot topic in academic research.The early research mainly focused on overseas markets.After the launch of China's Shanghai and Shenzhen 300 stock index futures contracts in 2010,scholars have conducted extensive discussions on the relationship between stock index futures and stock markets in China from the perspective of theory and empirical research.However,these studies are mostly based on the relatively stable background of the stock index futures trading system and less about the relationship between the two cities from the perspective of trading system adjustment.In 2015,China's stock market experienced a terrible plunge.The China Financial Futures Exchange has repeatedly introduced policies to curb market volatility.On one hand,the margin rate was raised from 10% to 40% and on the other hand,since january 1,2016,the intraday trading hours of stock index futures was synchronized with the stock market.Based on this,our study focuses on the perspective of the trading system adjustment to research relationship between stock index futures and stock market.This paper is based on the relevant theory between stock index futures and stock market combined with the development history and current situation of China's stock index futures market.This paper selected the three major stock index futures and the target index for 5 minutes of high frequency data.This paper studied the influence of the adjustment of trading system on the relationship between stock index futures and stock market from the two dimensions of margin rate and trading time adjustment.Based on the margin adjustment perspective,this paper compares the relationship between the two markets under the margin rate of 10% and 40%.Based on the adjustment of trading time,this paper compares the relationship between the two markets before and after the adjustment of trading time under the same margin rate.This paper uses Johansen Cointegration test,Granger Causality test,Vector Error Correction(VECM)model,Impulse Response and Variance Decomposition methods to explore the long-term equilibrium relationship,mutual guidance relationship,short-term repair effect between the two markets and the relationship between the response speed and price discovery in the face of external shocks.The main conclusions of this paper are as follows: First,in terms of cointegration relationship,before and after the adjustment of the two major trading systems both have shown that there is a long-term stable equilibrium relationship between the two markets.Second,in terms of guiding relations,the adjustment of the two major trading systems has not significantly changed the guiding relationship between the two markets.In general,the stock index futures market guides the stock market.After the margin rate was raised,the relationship between stock index futures of Shanghai and Shenzhen 300 and the CSI 500 has been changed from Stock index futures guiding the stock market to the mutual guidance.The relationship between the stock index futures of SSE 50 and the stock market has been changed from the stock index futures market significantly leading the stock market to the stock market significantly leading the stock index futures market.After the trading time was adjusted,the CSI 500 stock index futures significantly led the stock market.Third,in terms of short-term repair,the stock index futures before and after the adjustment of the two major systems have a reverse adjustment effect on the stock market.After the margin rate was raised,the short-term repair intensity of the Shanghai and Shenzhen 300 and CSI 500 stock index futures on the stock market weakened.SSE 50 stock index futures strengthened.After the adjustment of trading time,the short-term repair effect of the CSI 300 and SSE 50 stock index futures strengthened,and the CSI 500 stock index futures weakened.Fourth,in terms of impact response before and after the adjustment of the two major systems,the impact of the stock market on stock index futures was greater.The stock index futures market reflects faster on outside information.Fifth,in terms of price discovery,the price discovery function before and after the adjustment of the two major systems is mainly in the stock market.During the stock market crash in 2015,China's stock index futures market did not have the price discovery function.The main contributions of this study are as follows: First,the existing literature has been enriched from the perspective of adjustment of the trading system;Second,the paper selects the data of the three major stock index futures and stock indices at the same time to make the research conclusion more reliable;Third,the study found that stock index futures did not have the price discovery function during the 2015 stock market crash and stock index futures are not the direct cause of stock market crashes;Fourth,the research in this study is of great significance for regulators to improve the institutional construction of financial derivatives and investors' optimization strategies.