Research On The Correlation Between Stock Index Futures And Spot Market

The launch of the CSI 300 stock index futures has improved China securities investment market and provided an effective hedging tool for the spot market.Academia has conducted a lot of research on the correlation between stock index futures and the spot market.But due to the lack of data,most of the research is not in-depth.Up to now,the CSI 300 stock index futures has been launched for nearly 10 years,and the market mechanism and supervision mechanism are relatively complete.This paper conducts a more comprehensive and in-depth study of the correlation between stock index futures and the spot market,with a view to providing theoretical support for the further development of stock index futures.The paper mainly analyzes the correlation between stock index futures and the spot market from the long-term and short-term,macro and micro perspectives.In the long term,the Co-Integration Test and Error Correction model are performed on the CSI 300 stock index futures and the CSI 300 index sequence to study the long-term equilibrium relationship between the two markets.In the short term,the research is conducted on the data about four policy changes in the futures market from both macro and micro aspects.Macroscopically,the GARCH model and the EGARCH model that introduce dummy variables are established to analyze the overall fluctuations of the spot market after policy changes.Microscopically,GARCH model and the EGARCH model that introduce transaction data are established to analyze the impact of transaction data on the volatility of the spot market after policy changes.In addition,from both the macro and micro perspectives,it is necessary to study whether there is a leverage effect in the spot market after policy changes.This paper shows that there is a long-term equilibrium relationship between the CSI 300 stock index futures and the CSI 300 index.From the macro aspect,the implementation of the temporary control policy reduces the volatility of the spot market,while the implementation of the three restrictions removal policy enhances the volatility of the spot market.From the micro aspect,after the implementation of the four policy,the trading volume has a positive effect on the volatility of the spot market,and the open interest shows a reverse inhibitory effect.The leverage effect test shows that after four policy changes in the futures market,the spot market has a leverage effect.