Econometric Analysis On CSI300Stock Index Futures And The Underlying Index

On April16,2010, CSI300Stock Index Futures began to trade in China, which means commodity futures and financial futures has developed together.Stock index futures is one of normalized financial futures underlying stock index. Traders settle a specific time in advance in the contract. When it comes to the maturity, traders adopt cash delivery according to the stock index difference. People think that its speculative trading will disturb the spot market, because stock index futures is abstract and cannot be delivered. In the past30years, however, stock index futures has played an important role in venture management. Therefore, it is very necessary to make an empirical research on the relationship between stock index futures and the underlying index.This paper aims to discover the econometric relationship between CSI300Stock Index Futures and the underlying Index, including the volatility and risk measurement of loss on stock market yield rate and portfolio of stock index futures and spot market. It is meaningful to impove stock index futures market and spot market. Besides, the conclusion will help to impove the treasury bond futures market launched on September6,2013. Also, it will be as the practical reference provided for other derivatives in the future. This paper will study on three aspects:(1) how the CSI300Stock Index Futures influences the volatility in the spot market;(2) volatility spillover effects in CSI300Stock Index Futures market and spot market;(3) VaR based on GARCH models and back testings.First, this paper analyses how the CSI300Stock Index Futures influences the volatility in the spot market. This paper uses the daily logarithm return rate data from January5,2007to July22,2013, and develop respectively GARCH(I,1) and TGARCH(1,1) for the whole range, before the launch of CSI300Stock Index Futures and after the launch of CSI300Stock Index Futures. The results show that after the launch of CSI300Stock Index Futures,(1) the impact of system risk and new information on the current volatility in the spot market has decreased;(2) it takes longer time for the spot market to digest the old information;(3) the asymmetric effect of stock market has weakened. In conclusion, the launch of CSI300Stock Index Futures has decreased volatility and asymmetric effect of the spot market.Second, this paper analyse the volatility spillover effects in CSI300Stock Index Futures market and spot market. This paper uses the daily logarithm return rate data from.April19,2010to July22,2013, and develop diagonal VECH-GARCH model and DCC-GARCH model. The results show that,(1) the stock index futures market and spot market are of high positive correlation, and the correlation coefficent is beyond0.88;(2) there is volatility spillover effects in the two markets;(3) there is continuous linkage effect between the two markets.Third, this paper applies VaR to risk measurement of loss on stock market logarithm return rate and portfolio of stock index futures and spot market. Whilte computing univariate GARCH-VaR, the results indicate that,(1) for the sample before the launch of CSI300Stock Index Futures, in the95%confidence interval and99%confidence interval, VaR based on GARCH(1,1)-t and VaR based on TGARCH(1,1)-t are better, with lower failure rate, which means they are of better venture management;(2) for the sample after the launch of CSI300Stock Index Futures, in the95%confidence interval and99%confidence interval, VaR based on TGARCH(1,1)-t is better, which means it is of better venture management. Whilte computing binary GARCH-VaR, the results indicate that when the investment ratio of porfolio of futures market and spot market is1:9or9:1, VaR based on diagonal VECH-GARCH and VaR based on DCC-GARCH are of venture management. Besides, the failure rate of VaR based on DCC-GARCH is a little lower than that of VaR based on diagonal VECH-GARCH. Therefore, DCC-GARCH model is better in portfolio venture management.