The Empirical Study On The Relationship Between Csi 500 Futures And Spot Index

In April 2015,after the Shanghai and shenzhen 300 stock index futures listed,the 500 stock index futures were officially listed on the exchange.But with the introduction of the 500 index futures,the market does not seem to be as planned to get a good and stable operation,especially the small dish stock,stock index short-term fluctuations of more intense,whether it with the launch of the csi 500 stock index futures have a certain relationship?Since the 500 index futures are subject to the csi 500 index,it is very important to find out what effect the introduction of the 500 index futures will have on the corresponding spot market price.On the one hand,does the introduction of stock index futures increase the fluctuation of the spot market?On the one hand,is the stock market volatility exacerbated by the listing of 500 stock index futures?On the other hand,what is the relationship between index futures and indices?And this is exactly what this article needs to discuss.Due to the theory research and empirical research from domestic and foreign about the relationship between stock index futures and stock index is mostly based on foreign stock index futures market and the simulation is conducted on the basis of stock index futures,on the relationship of the csi 500 stock index futures and spot market research is more dispersed.Based on the relevant theories of domestic and foreign scholars and the existing research results,and the position of China's capital market,a comprehensive study is made on the relationship between the index futures and the underlying index.Firstly,this paper gives a brief overview of the problems of stock index futures market and stock market.Secondly,this paper will tell the relevant theoretical reference and concept definition of stock index futures and stock index.Then analyze the formation mechanism of the correlation between stock index futures and stock index,and make theoretical assumptions about the relationship between stock index futures and stock index based on the actual situation of China's securities market.Followed through on the basis of the theoretical assumptions by csi 500 stock index futures and stock index of the real transaction data for empirical analysis:first,through the cointegration test,determining whether it has long-term equilibrium relation between the two.Second,using the VAR model and pulse response analysis tool to determine whether the index futures and stock index have the leading effect?If there is a leading effect,try to find out the period leading to spot.The relevant conclusions can be summarized by observing the relevant results of empirical tests.Finally,this paper analyzes the conclusion and puts forward corresponding policy Suggestions for the supervision layer and the investors,combining with the development of China's stock market.This paper,by using the combination of theory and empirical research method,through theoretical analysis and hypothesis,the early stage by the use of our country stock index and refers to the transaction data for empirical analysis,can preliminary draw the following conclusions:first,the csi 500 stock index futures and there exists a long-term equilibrium relationship between the underlying index.Second,when the market gives an impact to the stock period,the underlying index will move in the same direction as the period,and the csi 500 stock index futures is ahead of the underlying index,schedule 1 to 2 minutes now,especially in the lead is the strongest within 1 minute.In this paper,on the basis of summarizing the research conclusion and analysis of the causes,from the Angle of the market,regulators and investors to the policy Suggestions on the following six aspects:(1)The regulation of financial innovation should be more artistic,which guarantees the stability of the financial system and does not harm the enthusiasm of financial innovation.(2)Improving the market shorting mechanism.(3)The policy and system should be designed to reduce the liquidity of injury securities,and strengthen the approval of suspension.(4)Increasing the variety of financial hedging tools to prevent overuse of single tools.(5)We will strictly control the leverage fund and add more legal and structured financial instruments.(6)Valuing the market position of medium and small board index.