| After several years of preparation and experiments, the Shanghai and Shenzhen300stock index futures (CSI300futures), the first index futures in Mainland, was finally listed for trading on April16th,2010. The establishment of CSI300futures is of great significance to improving China’s capital market. This means our stock market is going to enter a new phase with the bilateral pattern instead of the unilateral one, which will definitely open a new chapter in the history of China’s capital market. There has always been a high systemic risk in our stock market due to lack of short-mechanism. The stock index futures can serve as an effective risk management tool, which helps to make up the major flaw of the operating mechanism of the stock market. Besides, the stock index futures market will contribute to increasing financial products, and to enhancing the flexibility and function of capital markets. Furthermore, it will promote the development of our financial market and keep it more stable and healthy.With the rapid development of economic integration and globalization, China has gradually opened up its capital markets. China and other counties are becoming closely related. In the environment where international correlation is increasing, return and risk from different financial markets are intertwined. The spillover effect from the international market to emerging market in the Mainland is also enlarging significantly. Hong Kong, one of the famous financial centers in the world, is especially related to the Mainland due to their economic and trade cooperations. Since China’s accession to WTO, there has been a high degree of economic integration between Hong Kong and the Mainland. Besides, their economic and trade exchanges become more and more frequent. Financial market in Hong Kong is actually playing a role of bridge, which connects the Mainland to the world.Non-symmetric bivariate EGARCH model is used in the paper to analyze the return and volatility spillover effects between the CSI300futures market and the Hong Kong Hang Seng Index (HSI) futures market. Moreover, we also analyze the correlation and information transmission between these two markets. CSI300futures market is new and immature, which lacks resistance to risk. HSI futures market in this way can serve as a reference to further improve our capital markets, to avoid external risks in the opening process and to improve the resistance to risk. Empirical results indicate there are significant return and volatility spillover effects between the CSI300index futures market and the HSI futures market, and the spillover effects are asymmetric. There is a one-way return spillover effect from the HSI futures market to the CSI300futures market.There exist bidirectional volatility spillover effects and information transmission between the HSI futures market and the CSI300futures market. Generally speaking, a significant correlation has been found between the two stock index futures markets, and HSI futures market plays a leading role, which has a larger volatility spillover effect to the CSI300futures market. Capital markets in the Mainland and Hong Kong are closely related, where the flow of information is speeding up and economic and financial integration are enhanced, meaning the market segmentation has weakened. |
