The Research Of Co-movement Between The CSI 300 Index And FTSE Xinhua A50 Stock Index Futures

In 2006,the Singapore Stock Exchange launched the Xinhua FTSE A50 stock index futures on the target Chinese mainland market.Since then,overseas markets have started a battle with Chinese mainland for the right to price assets in the mainland.On the other hand,with the deepening of global economic integration and the acceleration of information circulation brought about by information technology,the links between capital markets of different countries have become closer,and the mechanism of linkage effects between different markets has been clarified,which will help prevent financial risks,and can accelerate the cultivation of a mature capital market.So this article studies the co-movement between them.This thesis is based on the event study method of the black swan event.First,it selects the events that meet the definition during the research period according to the academic definition,and then uses the event study method to delimit the event window,selects the normal return model,and studies the fluctuations of the two major stock index prices before and after each event,calculates the abnormal rate of return during the period,verifies the significance,and makes relevant explanations based on the background of the event,and then uses the Granger causality test model to detect the co-movement of the two research objects,and studies the price discovery efficiency of the two major stock indexes over a long period of time and the mutual lead-lag effect.In order to strengthen the validity of the conclusions,the difference in differences model is used to conduct a further significance test on the abnormal return rates during the aforementioned eight events,and the transaction volume is used to confirm the trend of price discovery efficiency changes between the two indexes.The experimental results in this thesis show that the outbreak of the black swan event,whether it is for the CSI 300 index or the Xinhua FTSE A50 stock index futures,can generate significant abnormal returns.The prices of the two major indexes are basically equal on the day of the information dissemination of the event,able to record the largest abnormal rate of return,and continue for multiple trading days.Research shows that in the early stage,the CSI 300 Index can guide the price trend of FTSE A50 stock index futures to a considerable extent,forming a leading role.In recent years,with the improvement of market trading mechanisms,the overall price discovery efficiency of FTSE Xinhua A50 stock index futures is higher than that of the CSI 300 Index,which is reflected in the abnormal return rate and trading volume.In summary,the Chinese mainland market should speed up the launch of stock index futures with international advanced levels and sufficient liquidity,compete for the asset pricing power in the capital market,and maintain its own financial independence.