Research On The Effects Of China’s Stock Index Futures Market To Spot Market

After stock index futures launched in the western developed countries in 1880 s, many countries have launched their own stock index futures. The stock index futures is rapidly developed as an important tool of risk aversion. The stock index futures has been an important part of the speculation and arbitrage on the market in chinese market. Our country launched CSI 300 Index in April 2010, which marked the financial market has entered a new field. The chinese financial market has entered into a period which focus on capital efficiency and reasonable risk aversion. The purpose of this paper is to study the connection between the stock index futures and spot, to make a certain knowledge of financial market,and to understand the relationship between the two markets and the realization of the hedging problem, which can provide certain guidance to carry on the market and to provide a certain basis for market regulation and economic policy.This paper studies the change of the volatility and liquidity under different market conditions after the financial market launches stock future and the spillover effects between the two markets and the optimal hedging strategy,excepting to get the connection between the two markets from the view of empirical analysis.The study shows that after launching the stock index futures, the volatility in the bull market is no obvious change, the volatility in bear market has increased obviously, liquidity there is no obvious change. Yields of two markets exist in sideways and bull market phase unidirectional overflow, bear market stage there is no overflow.Market volatility will exist in all market significantly bidirectional overflow, the change of the futures market changes in each other’s volatility is much larger than the evolvement of the spot market volatility changes. Research also shows that for the effect of hedging, dynamic model estimation are better than static model, estimation of recent contracts are better than forward contracts, this suggests that the more recent contracts can effectively avoid the market risk and hedging.