A Research For The Relationships Between China's Three Major Stock Indexes And Hu-Shen 300 Stock Index Futures

In order to cope with the impulsion of the global financial crisis, in November 2008, our government lauched the 4 trillion economic stimulus plan,and with the subsequent series of favorable policies token, China's stock market took breakthrough from the golabal stock makets, since then It has been in bull maket for a long term.when the GEM has been born, we look forward to Hu-Shen300 stock index futures will be to launch with an unprecedented high prospect.Under this background,we make a reserch for the relationships between China's three major stock indexes (Shanghai stock Index, Shenzhen stock index and Hu-Shen300 stock index) and Hu-Shen300 stock index futures, is of great significance. This article use the empirical approach to make a reserch on the relationships between themThe main contents of this article:In ChapterⅠ, introduced the research background of this article, and this article's important theoretical significance and practical significance.Through domestic and foreign literature reviewed and based on the existing relevant research background and research findings,we obtained the innovative point of this article. the author also introduced the theoretical tools and research methods used in this article, at the same time introduced the basic idea of this article and logical structure of this research,and did a presentation to explain the readers with other issues which are related with the paper.In ChapterⅡ, introduced the establishment of china's three major stock indexes (Shanghai stock Index, Shenzhen stock index and Hu-Shen300 index) and the design of the Hu-Shen300 stock index futures,and also introduced their own characteristics, and evaluated them.ChapterⅢand Chapter IV are the two most important chapters of this article,so they are the core chapters.of which,In ChapterⅢ, used the application of Correlation research, stationary test,co-integration test and error correction model between the two variables series, Granger causality examination, the impulse response functions and variance decomposition analysis methods and so on,to carry out empirical studies for the two-variable relationships between china's three major stock indexes and Hu-shen 300 stock index futures.In ChapterⅣ,useed the quantitative analysis methods such as vector auto-regression model, Johansen cointegration test, vector error correction models and so on,to do empirical research on the multi-variable relationships between China's three major stock indexes and Hu-Shen300 stock index futures.In ChapterⅤsummarized the paper, and Analysised the paper's Conclusions, estblished the price transmission mechanism between china's three major stock indexes and Hu-Shen 300 stock price,had a diagram of the magnitude of their mutual influence, and made the relevant policy recommendations.The main points of this article:(1) It has highly positive correlation among Shanghai stock Index, Shenzhen stock index, Hu-Shen300 stock Index and Hu-Shen300 stock index futures.with a high degree of movement and very strong correlation, they have a high rise or fall at the same time.(2) Shanghai stock Index, Shenzhen stock index, Hu-Shen300 stock Index and Hu-Shen300 stock index futures are non-stationary.however, Shanghai stock Index's first-order differential sequence (ΔSZ),Shenzhen stock index's first-order differential sequence (ΔSZCZ),Hu-Shen300 stock index's first-order difference sequence (ΔHS) and Hu-Shen 300 stock index futures's first-order difference sequence (ΔHSQH) are stationary. Therefore, Shanghai stock Index, Shenzhen stock index, Hu-Shen300 stock Index and Hu-Shen300 stock index futures are all stationary for their first-order difference sequences, are I (1), they can be expressed as mathematical expressions: SZ～I (1), SZCZ～I (1), HS～I (1), HSQH～(1);ΔSZ～I (0),ΔSZCZ～I (0),ΔHS～I (0),ΔHSQH～I (0)(3) There is a cointegration relationship between Shanghai stock Index and Shenzhen stock index,so are Shanghai stock Index and Hu-Shen300 stock Index, Shenzhen stock index and Hu-Shen300 stock Index, Hu-Shen300 stock Index and Hu-Shen300 stock index futures. There is close to be a cointegration relationship between Shanghai stock Index and Hu-Shen300 stock index futures,so is Shenzhen stock index and Hu-Shen300 stock index futures.Those mean that there is a long-term equilibrium relationship between them.there is also a multi-variable cointegration relationship between china's three major stock indexes and Hu-Shen300 stock index futures,It means that there is a long-term equilibrium relationship between them. which indicates that it exists a long-term equilibrium relationship between the stock market and the futures market. The long-term equilibrium relationship also reflects that long-term dynamic adjustments and changes between them will eventually tend to be equilibrium.(4) Shenzhen stock index does not granger cause Shanghai stock Index,and Shanghai stock Index does not granger cause Shenzhen stock index,which indicates that Shanghai stock Index would not lead into the up or down trend of Shenzhen stock index,and Shenzhen stock index also would not lead into the up or down trend of Shanghai stock Index,so are Shanghai stock Index and Hu-Shen300 stock Index, Shenzhen stock index and Hu-Shen300 stock Index; Hu-Shen300 stock Index futures does granger cause Shanghai stock Index, Shanghai stock Index does granger cause Hu-Shen300 stock Index futures, which indicates that Hu-Shen300 stock Index futures would be able to lead into the up or down trend of Shanghai stock index,and Shanghai stock index would also be able to lead into the up or down trend of Hu-Shen300 stock Index futures; Hu-Shen300 stock Index futures does granger cause Shenzhen stock index,but Shenzhen stock index does not granger cause Hu-Shen300 stock Index futures, which indicates that Hu-Shen300 stock Index futures would be able to lead into the up or down trend of Shenzhen stock index,but Shenzhen stock index would not be able to lead into the up or down trend of Hu-Shen300 stock Index futures; Hu-Shen300 stock Index futures does granger cause Hu-Shen300 stock Index,but Hu-Shen 300 stock Index does not granger cause Hu-Shen300 stock Index futures,which suggests that Hu-Shen300 stock Index futures would be able to lead into the up or down trend of Hu-Shen300 stock Index but Hu-Shen300 stock Index would not be able to lead into the up or down trend of Hu-Shen300 stock Index futures,It simultaneously shows that Hu-Shen300 stock Index futures has a certain degree of price discovery function.(5) Shanghai stock index has a great influence on Shenzhen stock index,but Shenzhen stock index has a minimal impact on Shanghai stock index; Shanghai stock index has a great influence on Hu-Shen300 stock Index,but Hu-Shen300 stock Index has a minimal impact on Shanghai stock index; Shanghai stock index has a great influence on Hu-Shen300 stock Index futures,but Hu-Shen300 stock Index futures has a minimal impact on Shanghai stock index; Shenzhen stock index has a great influence on Hu-Shen300 stock Index,but Hu-Shen300 stock Index has a minimal impact on Shenzhen stock index; Shenzhen stock index has a great influence on Hu-Shen300 stock Index futures,but Hu-Shen300 stock Index futures has a minimal impact on Shenzhen stock index; Hu-Shen300 stock Index has a great influence on Hu-Shen300 stock Index futures, but Hu-Shen300 stock Index futures has a minimal impact on Hu-Shen300 stock Index.(6)The price transmission mechanism between China's three major stock indexes and Hu-Shen300 stock Index futures can be expressed as:Shanghai stock index rise(or down) can cause Hu-Shen300 stock Index futures rise(ordown), Further, Hu-Shen300 stock Index futures rise(or down) can cause Shenzhen stock index and Hu-Shen300 stock Index rise(or down);Or, Hu-Shen300 stock Index futures rise(or down) can cause Shanghai stock index, Shenzhen stock index and Hu-Shen300 stock Index rise(or down).(7) Shanghai stock index has a great influence on Shenzhen stock index, Hu-Shen300 stock Index and Hu-Shen300 stock Index futures.It indicates that Shanghai stock index is the most important index which has a wind vane meaning.This suggests that investors judge china's stock maket goog or bad, accordancing with Shanghai stock index,is scientific. Hu-Shen300 stock Index has a great influence on Hu-Shen300 stock Index futures,which indicates that the spot price determinate futures price. Shanghai stock index, Shenzhen stock index and Hu-Shen300 stock Index has a great influence on Hu-Shen300 stock Index futures which indicates that china's three major indexes have a decisive role on Hu-Shen300 stock Index futures.Therefore, this article has important theoretical and practical significance. On the one hand, this research could be further perfected the studies which domestic and foreign scholars do among the major indexes in china, and the relationship studies they do between stock index and stock index futures;On the other hand, it can provide a basis for investors to make investment decisions and help investors to judge the risk of transmission and help investors make correct investment decisions; In addition, the conclusions of this research can provide policy reference for management and also help management to make effective policies...