Empirical Research Into The Relationship Between Stock Futures Market And Spot Market In China

Stock index futures is the most successful financial derivatives, since April 16, 2010 CSI 300 stock index futures has had a profound impact on China's financial markets.In this paper, the cause and effect-oriented between index futures and spot markets are studied, The most basic and important theoretical issues in market characteristics factor returns, trading volume, volatility, liquidity etc. are studied, using the CSI 300 stockindex futures and spot market transactions data, using the knowledge of econometrics to explore the aspects of the volatility and liquidity impact of CSI 300 index futures on the spot market. Exploring the effects of CSI 300 stock index futures from multiple angles to make up the lack of research about index futures on the spot market's liquidity to make the investors understand the special relationship between the stock index futures market and the spot market in Chinese financial market, so that the investors plan and develop a sound investment strategy and risk management strategies.The results show that there is a long-term equilibrium relationship between stock index futures and spot markets, at the same time, there is a price guide relationship between stock index futures and spot. Using the mean and the GARCH models, results show that CSI 300 stock index had greater volatility before the launch and in the early days of CSI 300 stock index futures,and the CSI 300 stock index had the greatest volatility when the stock index futures in the early days. When the CSI 300 stock index futures trading stabilized and pricing efficiently, the CSI 300 stock index's intraday volatility significantly decreased. By comparing the CSI 300 stock index and small board index's changes in volume, and using the "Illiquidity index ", the study found both illiquid trend in CSI 300 index futures' early days basically the same, but after a period of time, the two trends showed significant negative correlation, CSI 300 Index futures illiquid decreased, which showed gradually increased in its liquidity, on the opposite, the CSI 300 stock index illiquid rapidly raised, its liquidity decreased rapidly. The CSI 300 stock index illiquidity exists strong autocorrelation, contrast, the CSI 300 index futures illiquidity exists weak autocorrelation.Although in the initial launch of stock index futures, a large number of speculative short-term fluctuations existed in financial markets, but with stock index futures stabilized, the speculation gradually reduced. At the same time the stock index future allows two-way trading, the investors can trade more flexibly. The stock index futures enriched the type of investment in financial markets. So the launch of stock index futures did not cause polarization of funds, and has played a significant role in promoting on the spot market.