Research Of Price Discovery And Volatility Between Index Futures And Stock Index Of Our County

As an important financial derivative to hedge systemic risk in the stock market, Stock index future has got a rapid development in turnover, since it started in the eighties of last century. Relative to the mature stock market, Stock market started in China is relatively later. The volatility in the market is so terrible that many investors suffered heavily, when there is a financial risk in the world. As a high-leverage of financial derivatives, Stock index future also pregnant with enormous risk. It is for the consideration of risk that the China Financial Futures Exchange come to work until it has been used for simulation testing for three year since it set up in September 2006.We choose the close price of HS300 stock index and stock index future in every 15minutes since the stock index future become to work five months ago. We separate the data into two stage to analyze the price discovery and volatility between the stock index future and stock index.One is the early stage of the transaction, another is the forward stage. We set up our study from two aspects,one is the analysis of the long-term equilibrium relationship between the two markets with error correction model, information share model and permanent -transient model. The other is the volatility between the two markets with the GARCH model and EC-GARCH model.The empiric results are that:The volatility of the stock index become smaller after the introduction of the stock index future; At the early stage of the transaction, there is no long-term balance between the stock index future and the stock index because there are many speculators and few arbitrators in the market; The average information share of the index future is less than 3%,while the sport market is more than 97%,and there is no volatility spillover effect between the two markets in the first month of the transaction of the index future; The average information share of the index future is 45%,while the sport market is 54%,and there is volatility spillover effect between the two markets at the forward stage of transaction.