Research On Volatility Spillover Effect Between CSI 300 Stock Index Futures And Spot Market

CSI 300 stock index futures officially had been traded in our country on April 16 th, 2010,it is the first issue of China’s domestic stock index futures.It provided short mechanism for our financial market and improved the capital structure of the market. In five years time, whether the stock index futures will play an effective role? Whether there is volatility spillover effect between stock index futures market and spot market? These two problems are the common concerns of all market participants and market regulators.The article select three different models, including EGARCH model, BEKK-GARCH model and DCC-MVGARCH model, to take the quantitative analysis of the volatility spillover between two markets by using five-minute high-frequency yield rate series of two markets.The empirical results turn out:First, through Granger causality test between CSI 300 stock index futures and index market,we find not only is the Granger reason of spot found that stock index futures, but also the spot is the Granger cause of stock index futures.There is bidirectional causal relationship between the stock index futures and the spot. Secondly, cointegration test shows that there is a long-term equilibrium relationship between CSI 300 stock index futures and spot market.Then, on the basis EGARCH model, the research shows that the two markets of CSI 300 stock index futures market and stock market returns rate volatility with asymmetry, the leverage effect exists, and there bad news than good news caused by the fluctuation of stronger.Finally, given by the BEKK model, there is a bidirectional volatility spillover effect between the two markets and the volatility spillover has asymmetry, the CSI 300 stock index spot market volatility spillover effect is stronger.Through the DCC model, we can get the dynamic volatility spillover effect between CSI 300 index spot and stock index futures,and volatility between the dynamic correlation will change over time, with time-varying characteristics, the existence of strong linkage mechanism of the two markets.