| Stock index futures are financial derivatives based on stock index compiled by relevant stock prices.Since the birth of stock index futures,it has developed rapidly in the world,and has become the largest trading futures in the world.After many years of preparation,on April 16,2010,China formally launched the Shanghai and Shenzhen 300 stock index futures contract,which added new financial instruments for Chinese investors to avoid risks.It has played a positive role in further improving the development of China's capital market and increasing financial innovation.After five years of development,the Shanghai 50 and China 500 stock index futures contracts were launched on April 16,2015,which further enriched the contract trading varieties of China's stock index futures market and provided investors with more hedging tools to choose.China's stock index futures market has entered a period of rapid development.However,the stock market disaster in June 2015 brought a heavy blow to the development of China's stock index futures market.Stock index futures are considered as an important cause of stock disaster.From July 7 to September 2,2015,the China Financial Futures Exchange issued a series of announcements,which began to restrict the trading of stock index futures,and the stock index futures market shrank sharply.It was not until December 1,2018 that the China Financial Futures Exchange fully liberalized trading restrictions.As the impact of stock index futures on the stock market is very important,a thorough study of the information transmission in China's stock index futures market will contribute to the healthy development of China's stock index futures market,and also provide the relevant regulatory authorities with relevant theoretical basis for the introduction of regulatory policies.The research object of this paper is the price correlation between stock index futures market and spot market as well as the volatility spillover effect of the two markets.Taking the daily trading data of Shanghai and Shenzhen 300 stock index futures and index spot market as samples,the price relationship between stock index futures market and index spot market is obtained by Granger causality test,VAR model and variance decomposition.The DCC-GARCH model is used to study the price relationship between the two markets.Volatility spillover effect.Through empirical research,the conclusions are as follows: This paper uses ADF unit root to test the return sequence of Shanghai and Shenzhen 300 stock index futures and index spot,to test the stability of the sequence,and then carries out empirical analysis on this basis.Granger causality test using the return series of Shanghai and Shenzhen 300 stock index futures and index spot shows that before the restriction of stock index futures trading,the stock index futures market and index spot market are Granger causes;but after the restriction of stock index futures trading,it is found that the stock index futures market is the Granger causes of index spot market,and the index spot market is not the Granger causes of stock index futures market.Based on VAR model,variance decomposition is carried out to obtain the results of variance of prediction error.It is found that the contribution of prediction error variance of stock index futures market is much greater than that of stock index spot before restriction of stock index futures trading,indicating that stock index futures price has a leading role in index spot price;but after restriction of stock index futures trading,it is found that the contribution of prediction error variance of index spot price is much greater than that of stock index futures.This is because after the restriction of trading,the trading scale and volume of stock index futures shrink,the efficiency of price information transmission between markets decreases,and the relevant role of the stock index futures market is also limited.Finally,using DCC-GARCH model,the dynamic relationship between stock index futures market and index spot market is analyzed,and the volatility spillover effect between the two markets is obtained.Before the restriction of stock index futures trading,the dynamic correlation between stock index futures market and index spot market is relatively stable.The volatility relationship between the two markets shows a dynamic change process with the change of the market,and the price fluctuation between the two markets is closely related.After the restriction of stock index futures trading,the dynamic correlation decreases rapidly in the initial stage of policy issuance,but gradually recovers with the market.Moreover,although the trading volume of stock index futures declined sharply,its dynamic correlation gradually returned to the same level as before the restriction of trading of stock index futures.Therefore,there is a mutual volatility spillover effect between the two markets.This study proves that China's stock index futures market has strong price discovery ability before restricting trading,but this ability has been greatly weakened after the introduction of restrictive trading policy.The volatility spillover effect exists between the two markets,and the dynamic correlation between the two markets decreases rapidly at the early stage of the implementation of the restrictive trading policy of stock index futures,which indicates that the efficiency of volatility transmission and information transmission between the two markets decreases.The announcement of China Financial Futures Exchange at the beginning of December 2018,which completely unbundled the CIFIC's stock index futures contract,indirectly proved the accuracy of this research conclusion.This will provide some reference for the future regulatory authorities to formulate relevant laws and regulations. |
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