An Empirical Study On The Linkage Between Stock Index Futures And Stock Index Spot In China Based On The High Frequency Data Of CSI 500ETF And CSI 500 Stock Index Futures

The studies on the linkage between stock index futures and stock index spot in China are not comprehensive and they usually just consider the factor of price or volatility. The methods of research about volatility leadership are general, old and inaccurate and they do not consider the no-arbitrage nature that is one of the most important characters. The article uses the high-frequency one minute’s data from CSI 500 ETF and the corresponding CSI 500 stock index futures to make a comprehensive research about the linkage between stock index futures and stock index spot from the aspects of price leadership, volatility leadership and no arbitrage.We creatively use the stable ratio between net value per unit of ETF and the corresponding index to change the market price of ETF with the same ratio, instead of using the traditional and ideal stock index to represent the stock index spot, and we use the date changed to represent the stock index spot which is much closer to the reality compared with the original stock index in researching the no arbitrage of stock index futures and stock index spot in China.In researching the volatility leadership of stock index futures and stock index spot in China, we use Barndorff-Nielsen’s volatility decomposition model to decompose the overall volatility into continuous volatility and jumping volatility based on the fact that different information affect different carrier of volatility instead of using the traditional GARCH model and we research the rate of return between stock index futures and stock index spot in China on three aspects of overall volatility, continuous volatility and jumping volatility respectively.The study shows that stock index futures has an obvious price leadership compared to stock index spot; stock index futures has an obvious volatility leadership compared to stock index spot and the character is significant of the three aspect; the no arbitrage is weak between stock index futures and stock index spot in China especially compared with the developed countries and we should notice that the no arbitrage is becoming stronger between stock index futures and stock index spot after market crash and the premium of stock index futures to stock index spot from long run have become better. Combined with the results, this article give some advice to the investor and government at last.