Empirical Study On The Infectious Risk Between Stock Index Futures Market And Spot Market In China

With the development of economic and financial globalization, the openness of financial markets in different countries or regions has been continuously deepened, and this allows capital to flow freely around the world. At the same time, with the rapid development of information technology, market fluctuation information can be transmitted to other markets through a variety of communication channels more and more rapidly. This has not only improved the efficiency of the modern financial market, but also set a hidden danger of a huge risk of infectious for those markets. CSI 300 index futures is our country’s first stock index futures products, and it has played an important role in China’s capital market by its special functions to avoid risk and price discovery. Therefore, in such an era, an important topic which is worth studying and exploring thoroughly for us is that, how can we identify and analyze infectious risk may exist in our country’s stock index futures market and stock market, and protect the stock index futures market from the risk of infectious through formulating relevant policies, and promote the smooth operation of the stock market by guaranteeing the normal functioning of the market.Based on the above background, this paper analyzes the relationship between stock index futures market and the spot market from a theory angle firstly, and expounds the concept and mechanism of infectious risk. And then, by using the Granger causality test and building the GARCH model, this article verifies the correlation between the CSI 300 index futures market and the stock market, and proves that the issue of the CSI 300 index futures does have an inhibitory effect on the volatility of the spot market. Finally, by using the factor analytical method to do dimension reduction with the transaction data of domestic and foreign related financial market, this paper introduces the domestic market factor and the external market factors, and builds the BEKK-GARCH model between those two factors and the CSI 300 index futures return series respectively to study the risk contagion effect between stock index futures market and the domestic and foreign markets. The study’s conclusions shows that, there indeed is a two-way volatility contagion effect between the CSI 300 index futures market and the domestic and foreign markets, and the volatility of the CSI 300 index futures market is more susceptible to other markets.Based on the above conclusions, in the final chapter, this paper puts forward policy recommendations on how to improve the development of China’s stock index futures market from the aspects of improving the efficiency of market operation and establishing a unified supervision system and so on.