An Analysis Of The Correlation Between Stock Index And Stock Index Futures Of Shanghai And Shenzhen300.

The U.S. credit crisis swept across the world which evolved into a financialtsunami quickly in2007, many countries share prices collapse in the stock marketturmoil, and the emerging countries as China’s stock market was plunged by70%. Indeveloped countries, fell more than30%of the very few, especially the birthplace ofthe credit crisis, the United States only fell25%(October2007), one of the reasonsis the good operation of stock index futures market, it’s significantly trading andposition increased the stable effect of the stock market. This fully embodies the stockindex futures has ability of risk transfer and redistribution, which became a "refuge"of the developed economies stock market.In this context, our country introduced the IF300index futures in April16,2010.The introduce of stock index futures will be launched the open era ofinnovative financial products in the true sense of China, and, to some extent, transferthe market resonance and systemic risk because of the product homogeneity. Owingto China’s stock index futures has launched since a very short time, we need moreand targeted discusses stock index futures market and cash market relationship issueseither from the perspective of the practice in China or deepening theoreticalunderstanding perspective.This paper is divided into four sections, the first chapter is introduction,described the economic environment at home and abroad and the background andthe research significance of the launch of the stock index futures firstly, then makes ahome and abroad and a literature review. The second chapter is China’s futuresmarket and cash market overview, which describes function and current situation andbackground of our futures markets and the Chinese securities markets’ presentsituation, the characteristic and function. Finally, it is descriptive analysis aboutIF300stock index futures and the share price index. The third chapter is theempirical analysis, research the effect of fluctuations and dynamic related betweenspot market and futures market and Tail dependence. The fourth chapter is theconclusions and recommendations, and finally recounts the shortage of this paper.