Csi 300 Stock Index Futures Price Discovery And Volatility Spillovers

In the past 5 months, the CSI 300 stock index future market runs well, look into the three basic indices of measuring the futures market operating efficiency:liquidity, basis and the risk control level, CSI 300 stock index futures indicative the exceed rate of maturation than the other markets. While the current CSI 300 stock index futures market is prosperous, but whether it has played its basic functions is still uncertain. Otherwise the active trading just be another speculative place for investors. Meanwhile, as quantitative investment, program trading has becomes more and more popular now, the risk of financial market appears more complex, risk overflow and information transmission between markets proposed a greater challenge to the existing regulatory system. So since the CSI 300 stock index futures has been treaded, the transmission of information between the two markets and the mechanism of risk overflow between the two markets has become the focus of the academia.This paper using the intraday high-frequency transaction data, from two aspects:return (the first moment) and volatility (second moment) to do the research. In order to circumvent the difficulties for study brought from the non-validity of the data, and also able to carry out the study in the current circumstances that the transaction data is not rich now, this paper accouting for the three key indices of measuring the market efficiency:liquidity, spreads and market stability, selecting the transaction data occurred when the market reflects efficiency as the study sample of this paper. Building the Vector Error Correction (VEC) model of sample data, we can Observe the long-term equilibrium relationship and the short-term interaction between the CSI 300 stock index futures and spot indices, then we can further explore the price discovery function of CSI 300 stock index futures, through dual variable BEEK-GARCH (1,1) model, we can discuss the volatility spillover between different markets.The empirical results show that:CSI 300 stock index futures and stock index has stable intraday long-run equilibrium relationship, in short-term,the return of CSI 300 stock index futures lead the spot index return of about 8 minutes, index futures yield spot index returns of about 1 minutes, thus,CSI 300 Index futures has price discovery function,to a certain extent; In considering the trend of the market we found that the CSI 300 stock index futures lead the spot in higher degree, in the up process.while the level of spot ahead of the stock index futures was little changed. To some extent, this reflected in our country, restriction of short selling is not one of the main reason for price discovery function of stock index futures; For the volatility spillover effects, the pre-conditional variance of spot market impact the volatility of futures market, and the pre-conditions variance of the futures market also has an impact on the current spot market volatility, there are two-way volatility spillover effects between the two market. From the degree of volatility spillover, the volatility spillover from futures market to spot market is significantly higher than the volatility spillover from spot market to futures market. Although the information will not only be passed to the futures market from spot market, but will also be passed to the spot market form futures market, on the whole, the transmission of information from the futures market to the spot market was in a dominant position.This study can not only judge whether the stock index futures has price discovery function or not, but also can widely used in short-term forecast of stock index futures and stock index futures hedging. Finally, the study of volatility overflow mechanism between CSI 300 index futures and spot market Contribute to management through the joint supervision of the two markets to prevent the risk of the spread between the markets and improve the efficiency of the market risk regulation.