Study On The Correlation Between Stock Indexes And Stock Index Futures

As important financial products, the stock and stock index futures are becoming significantly influent in financial market. However, they are of higher risk and less predictability compared to the other financial products. People hope that they can draw some valuable investment suggestions by analyzing the previous trade data. My essay here is try to provide a suitable investment ways?trade strategies and suggestions based on investor's various purposes.In this thesis, we first implement a computer program which can crawl and store the true trade data of stock and stock index futures from the world-wide-web. The data include stock indexes and stock index futures in recent three years(2015---2018). Using these data, we mainly analyze the data correlation from the following two aspects:(1) The correlation between stock indexesWe analyze the correlation between the Shanghai composite index, the Shenzhen component index and the Shanghai & Shenzhen 300 index. The analysis results indicate that the Shanghai & Shenzhen 300 index is of strong correlation with the Shanghai composite index and the Shenzhen component index. As can be seen, the Shanghai & Shenzhen 300 index presents the global situation of Chinese stock market. In addition, the correlation also exists in the same index data by shifting the trade date.(2) The correlation between stock index and stock index futureWe analyze the correlation between the advance-decline of stock indexes and the basis. The basis is defined as the difference between spot price and future price. For the cost of capital, future prices are usually higher than spot prices. By analyzing the true trade data, we find that the stock index prices will advance in large probability when the negative basis is larger than some thresholds.In all, this thesis presents the methods and results of analyzing the correlation between the stock indexes and stock index futures. In big data era, it is considerably meaning direction of mining valuable information from the true financial data. Especially for hedgers, arbitragers and speculators have certain reference value for the design of stock index and stock index futures and financial investment. By using the empirical analysis method the correlation of financial market data, to explore the relationship between the stock index and stock index futures, and quantitatively for the stock market and stock index futures investment provides a useful technical reference.