Research On Spillover Effects Between Stock Index Futures And Spot Market Information

For a long time China’s stock market investors can only unilateral do more, we can not take advantage of short-mechanism of capital hedging and risk aversion. The wake of the global financial crisis in 2008, China’s stock market has plunged sharply phenomenon, investors can hedge more urgent need of tools to effectively reduce losses. 2010, China Financial Futures Exchange officially launched the Shanghai and Shenzhen 300 stock index futures, marking further improve our financial market system. More than five years, China’s financial market is facing many internal and external challenges, especially from the end of 2014 to 2015 in the first half of Chinese stock market a big jolt on the short-term phenomenon. How the relationship between them in the process? What information transmission mechanism of the two markets is? How dominant position both in price discovery in? Whether the transfer of volatility? These issues have gradually become the focus of the impact of future development of China’s stock index futures market.This article is in the above context information spillover CSI 300 stock index futures and stock index between research, the article consists of five parts: The first part is an introduction; the second chapter of the related literature was reviewed and commented; Chapter III overflow from the mean and volatility spillover two aspects of the theory are analyzed and presented basic hypothesis of this paper; the fourth chapter empirical parts, including model presentation and analysis of empirical results; the last part of the study results interpretation, and propose appropriate policy recommendations based on the conclusions and research prospects.This paper selects 2012--2015, China’s Shanghai and Shenzhen 300 stock index futures and spot market index 5 minutes of high-frequency data for the sample, and in accordance with market trends filter the data processing from the market in general and between the two different prices mean lower on spillover effects and volatility spillover effect empirically tested. The results show that the overall situation in the Shanghai and Shenzhen 300 stock index futures and spot market prices to guide two-way relationship between the price of the stock index futures lead time of about 50 minutes, while the spot price of lead time is not more than 5 minutes, and the stock index futures price discovery in a dominant position. CSI 300 stock index futures market exists for one-way volatility spillover effects, volatility spillovers spot overall index was not significant, the leverage effect of the two markets is not remarkable; in a different market, the stock index futures on the spot price of lead time is 30 minutes to 50 minutes, but only at the market spot price rising phase 5 minutes leading presence on futures prices. Similarly futures market volatility spillover effect is more significant spot market, prices fell only in stages, the spot market volatility spillover effect on the futures market. Two markets exist leverage and volatility in the stock market decline phase.