The Impact Of Risk Events On Price Discovery And Volatility Spillover Effect Of Stock Index Futures

As an important investment target,stock index futures can avoid and hedge the risk of stock market volatility.The listing of stock index futures also enriches investors' choices of targets,enabling investors to diversify risks more effectively.After the stock market crash in 2015,investors had a wrong understanding of stock index futures,and the supervisory authorities also adopted a series of measures to restrict the trading of stock index futures.In recent years,the regulatory authorities have gradually loosened restrictions on the trading of stock index futures,and the trading volume of stock index futures has gradually increased,but investors' awareness of stock index futures is still not high.Whether stock index futures can play a role in price discovery when a risk event occurs,and how the risk event will affect the volatility spillover effect of stock index futures has always been a concern for investors and regulators.In particular,the new crown pneumonia epidemic has had a huge impact on the financial market.Studying the impact of the epidemic on the price discovery and volatility spillover effects of stock index futures can enable investors and regulators to better understand stock index futures.This article first analyzes the development and characteristics of stock index futures and the impact of risk events on stock index futures from a theoretical level.Secondly,select the high-frequency trading data of stock index futures before and after the epidemic,and model the VAR model to empirically analyze the changes in the price discovery ability of stock index futures before and after the epidemic.Through the modeling of the BEEK-GARCH model and the DCC-GARCH model,the impact of the risk event of the epidemic on the volatility spillover effect of stock index futures is empirically analyzed.The empirical research results show that:(1)When using the VAR model for modeling,it is found that the price discovery ability of stock index futures has been weakened in the epidemic,but it still has a better price discovery effect.(2)The volatility spillover effect of the stock index spot market and its stock index futures market is two-way no matter before the epidemic or during the epidemic.However,the long-term volatility of stock index futures on the spot index rose sharply after the outbreak,and the fluctuation of the market correlation coefficient increased by 5 times,indicating that the outbreak of the epidemic has significantly increased the volatility spillover effect between the futures markets.Finally,this article proposes that the Supervisory Bureau can improve the trading system and supervision system of stock index futures,and appropriately loosen restrictions on stock index futures.At the same time,it also allows market participants to have a deeper understanding of stock index futures,participate in the futures market and financial market in a more orderly manner,and enhance the ability of my country's stock index futures market and stock market to operate smoothly when risk events occur.