The Study Of The Lead-Lag Relationship Between Cash And Shanghai-Shenzhen 300 Stock Index Futures

On April 16.2010. China Financial Futures Exchange has launched Shanghai-Shenzhen 300 Stock Index Futures. This marks that the thing that the capital market lacks bilateral trading mechanism has ended.As a kind of financial derivatives, index futures has become a kind of mature risk management tools in foreign capital. Index futures has leveraged properties. Linkage properties, cross period properties and high risk. First, using margin mechanism, stock index futures trading does not need to pay the value of stock index futures contract. China Financial Futures Exchange determined the minimum margin for the full value contract 12 percent of Shanghai-Shenzhen 300 Stock Index Futures contract. So the profits and losses of the investors will be enlarged. Secondly, Shanghai-Shenzhen 300 stock index futures puts Shanghai-Shenzhen 300 Stock Index as underlying assets and the delivery price is the price of spot closing price. The price of Shanghai-Shenzhen 300 Stock Index Futures and its spot market will have close relations. Again, stock index futures price reflects the expectations of price in cash market among investors. So index futures trading is established on the expected price of spot index. Meanwhile, using margin determines that the stock index futures has high risk.Stock index futures mainly has functions of the price discovery, avoid risk and enhancing the asset allocation efficiency. Stock index futures prices reflected expectations of price in cash market among investors. Also, stock index futures market conducts news information faster and has many advantages comparing to cash market. So the price of index futures reflects the real value of spot market. Secondly, using hedging investors can avoid system risk and make a profit. Finally, the launch of stock index futures increases the investment approach of capital market. Such as investors can not only invest in the stock market, but also buy stock index futures contract by getting the average earnings of stock market and increasing asset allocation efficiency.Stock index futures has the function of price discovery to spot index. The lead-lag relationship and the spillover effect of stock index futures and its spot market also Proof that function. This paper studies the lead-lag relationship of Shanghai-Shenzhen 300 stock index futures and its index from three angles which are the length of time of lead-lag. the causal relationship and the spillover effect.This paper mainly has three characteristics. First, this paper studies the lead-lag relationship of Shanghai-Shenzhen 300 stock index futures and spot index. The spot market not only has Shanghai-Shenzhen 300 stock index, but also has the industrial index, financial property index, consumer index, medicine index and agricultural index. Secondly, we add the indicator of volatility to study the complex causal relationship. Third, we establish a full-BEKK model to study the spillover effect.Through an empirical research we mainly draw three conclusions. First, stock index futures leads the spot index. Secondly, there is granger causality relationship between stock index futures and spot market. Third, through an empirical study we find that Shanghai-Shenzhen stock index futures has weakened stock market fluctuations and there exists two-way spillover effect.