The Study Of The Relationship Between The CSI300 Stock Index Futures And The Spot Market

Our stock market has experienced a strong fluctuation in 2015, especially in June. Many investors criticized the short function of the stock index futures causing the sharp drop, and appealed to suspend the exchange of the stock index futures. So what is the relationship between the equity index futures and the spot market, is it true that the dynamic relationship between this two markets speed up the drop of the spot?This article uses cointegration test and VAR model to take the empirical analysis of this two markets, using 1 min high frequency data of Shanghai and Shenzhen 300 stock index futures and the spot market index. Meanwhile,according to the strong fluctuation of this two markets, this article will carry on the research on a quarterly basis. The empirical results are as follows:Firstly, by using cointegration test, we find that the relation between CSI300 stock index and the spot is stable in a long term. And in the four quarters, there is only on cointegration equation.Secondly, by using Granger causality test, we find there is only CSI300 stock index futures unitary volatility leading effect to the CSI300 index in the second quarter. But in the other quarters, there is mutual causality between this two markets.Thirdly, according to the impulse response function, we find that the CSI300 stock index futures has no effect on the spot in the first quarter, but in the second and the third quarters, the influence become evident. In the forth quarter, the effect is not obvious because of the the poor trading. The response of CSI300 stock index futures to the spot has little change in the four quarters, is about 2 periods.Finally, according to the variance decompositon, we find that the fluctuations in the spot mainly comes from themselves. In the first quarter, the contribution degree of itself is 99.75%,in the other three quarters,the contribution degree of themselves is about 90%, the contribution degree of the CSI300 index futures is not obvious. So this paper argues that the CSI300 index futures is not the cause of the sharping drop in June.